Array
Hello, i'm working on replicating Peters and Taylor(2016)
i want to know how to compare R^2 from different regressions like panel c
for example
panel A regression
xi:xterg y x_a i.fyear, fe cluster(gvkey)

panel B regression
xi:xterg y x_b i.fyear, fe cluster(gvkey)

how to test whether the R2 values in Panels A and B are different, taking into account the correlation across regressions and again clustering by firms.
thanks!