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Revision 11 as of 2008-03-18 16:41:09

location: FAQ / rsqdiff

How do I compare two squared correlation coefficients (R-squareds)?

Zou (2007) presents two methods of computing a confidence interval for the difference in R-squareds obtained from regressions on different data sets. If zero is not contained in the confidence interval then the two R-squareds do not differ statistically at the (two-tailed) input alpha level. Zou suggests for samples under 100 that a modified version of the traditional delta method be used to compute confidence intervals. Both method may be computed using a [attachment:rsqdiff.xls spreadsheet.]

There is also [http://www.statpower.net downloadable] MS-DOS software to evaluate confidence intervals for a single R-squared and [attachment: a spreadsheet] based on formulae from [http://psychology.anu.edu.au/people/smithson/details/CIstuff/CI.html Smithson.]

Reference

Zou, GY (2007) Toward using confidence intervals to compare correlations. Psychological methods 12(4) 399-413. (available on [http://intranet.mrc-cbu.cam.ac.uk/CBU_Library/index.shtml ScienceDirect] for CBSU users).