What is a correct way to compare two $R^2$? I have dependent variable $Y$ and $X_1, X_2, X_3, X_4.$ I run two regression models, namely with $X_1$, $X_2$ and $X_3$, $X_4$. Both $R^2$ values are close. So how I determine if they are statistically different (or the same)? How to get F-statistic for these two?