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I'm interested in whether the variance explained by a regression model (i.e., R2) differs between age groups.

I have run the same regression model in four groups of different ages and have obtained R2 values for each model. Descriptively I can see these results vary quite a bit, but I would like to know if they are statistically different.

1) What test should be used to compare the R2 of two groups?
2) What test should be used to compare the R2 for more than two groups?
3) What functions and packages are to be used in R to implement these?

Aepkr
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  • please indicate results of analysis. –  Jan 31 '22 at 14:19
  • Comparing $R^2$ could give erroneous results, depending on how the explanatory variables differ among the groups. See https://stats.stackexchange.com/a/13317/919 for some insights. Consider editing your question so it describes your statistical objectives and asks how to achieve them, rather than pursuing an approach that might be incorrect or meaningless. – whuber Jan 31 '22 at 16:25

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