Note: the command rsquare is not built into Stata, you need to download the program from ATS from within Stata.

              
use http://www.gseis.ucla.edu/courses/data/gpa

rsquare gpa greq grev mat ar

Regression models for dependent variable : gpa

R-squared     models with 1 predictor variable
0.3735        greq
0.3381        grev
0.3651        mat
0.3853        ar
R-squared     models with 2 predictor variables
0.4852        greq grev
0.5830        greq mat
0.5033        greq ar
0.4935        grev mat
0.5155        grev ar
0.4923        mat ar
R-squared     models with 3 predictor variables
0.6170        greq grev mat
0.5716        greq grev ar
0.6102        greq mat ar
0.5719        grev mat ar
R-squared     models with 4 predictor variables
0.6405        greq grev mat ar