st: Re: confidence intervals on r^2

[Kit Baum <baum@bc.edu>]

Short answer: No.

Long answer: R-squared is not a statistical concept. It does not test  
a null hypothesis. If you take its components and rearrange them, you  
get the standard ANOVA F-statistic, which does test a null hypothesis  
(of the model against the null model with all slopes set to zero).  
That statistic has a p-value, available on every regression output.


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Oct 15, 2007, at 2:33 AM, statalist-digest wrote:


> Dear Stata Users,
> Is it possible to calculate confidence intervals on R-squared in  
> Stata,
> and if so, how is this accomplished?
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/