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 comfidence 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. Reference
Zou, GY (2007) [http://content.apa.org/journals/met/12/4/399 Toward using confidence intervals to compare correlations.] Psychological methods 12(4) 399-413.