Re: st: Re: confidence intervals on r^2

[Marcello Pagano <pagano@hsph.harvard.edu>]

Correct answer: R-squared is a statistic around which you can set a 
confidence interval.  It is just somewhat complicated to give the 
general formula, although it is available in particular cases. 
Which case are you interested in?

m.p.

On 10/15/2007 6:27 AM, Kit Baum wrote:

> 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/
*
*   For searches and help try:
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