In an earlier blog post I provided R code for a CI of a difference in R square for dependent and non-dependent correlations. This was based on a paper by Zou (2007). That paper also provides a method for calculating the CI of a difference in independent R square coefficients based on the limits of the CI for a single R square coefficient. I’ve also been experimenting with knittr and unfortunately haven’t yet worked out how to merge the R markdown output with my blog template, so I’m linking to RPubs for convenience.
You can find the function and a few more details here.