Dear Rick,
PROC GLM has the EFFECTSIZE option in the MODEL statement which gives a 95%-CI for R-Square without bootstrapping.

Yours,
Oliver

%let N = 10000; /* sample size */
data BWeight;
set sashelp.bweight(obs=&N);
keep Weight Black Married Boy MomSmoke CigsPerDay MomAge MomWtGain;
run;

proc glmselect data=BWeight seed=12345;
model Weight = Black Married Boy MomSmoke CigsPerDay
MomAge MomAge*MomAge MomWtGain / selection=none;
ods select ModelInfo NObs Dimensions FitStatistics;
ods output FitStatistics=Fit1;
run;

proc glm data=BWeight;
model Weight = Black Married Boy MomSmoke CigsPerDay
MomAge MomAge*MomAge MomWtGain / ss1 effectsize alpha=0.05;
ods exclude NObs OverallANOVA FitStatistics OverallEffectSize ModelANOVA ParameterEstimates;
ods output OverallEffectSize=RSquareOut(drop=NC_MVUE NC_minMSE LCLNC UCLNC cValue1 Omega2
where=(Label1 in ("Eta-Square")) rename=(Eta2=RSquare LCLTotal=CIL_RSquare UCLTotal=CIU_RSquare));
run;

proc print data=RSquareOut noobs;
var RSquare CIL_RSquare CIU_RSquare;
run;