[…] I have no issues with using the Olkin-Finn formula for large data sets when the observed R-square statistic is not too extreme. But what should you do to obtain a confidence interval for small and mid-sized data? One possibility is to use a bootstrap analysis to estimate a confidence interval. In SAS, the GLMSELECT procedure supports the MODELAVERAGE statement, which enables you to perform a simple bootstrap analysis of many regression statistics. A bootstrap analysis does not require large samples and can correctly handle situations where the sampling distribution of R-square is skewed. In a follow-up post, I show a bootstrap analysis to estimate a confidence interval for R-square. …