Industry Effects

[AmosAnderson]

Hi!

I'm currently doing my master's thesis and I came accross the following problem:

I have an (unbalanced) panel data sample consisting of some 2500 firm-quarter observations. I divided this sample into 9 subsamples according to specific industries and then ran a regression model separately for all the subsamples. I am interested in the differences in the adjusted R2s for the different subsamples.

My hypothesis is that there are differences in the explanatory powers for the different industries. My question for you, however: Is there some sort of specific test that I can use in order to accept or reject the hypothesis? The only thing I have come up with is to simply compare the differences in R2s, and there clearly are differences, but how can I make sure this is true 'statistically'.

Your help would be very very much appreciated!

Thank you!

BR,
Amos