[R] Odd r-squared
kjetil@entelnet.bo
kjetil at entelnet.bo
Mon Nov 3 16:11:09 CET 2003
On 3 Nov 2003 at 17:53, Simon Wotherspoon wrote:
If you are really interested, you could write your own function
to calculate r-squared, deciding from the model matrix if the range
space of the model matrix contains a constant vector.
If model is the model matrix with n rows, one way is to compare the
$rank components of
qr(model) and
qr(cbind(rep(1,n), model))
Kjetil Halvorsen
> Hi,
> I would consider the calculation of r-squared in the following to be a
> bug, but then, I've been wrong before. It seems that R looks to see if the
> model contains an intercept term, and if it does not, computes r-squared in
> a way I don't understand. To my mind, the following are two alternative
> parametrizations of the same model, and should yield the same r-squared.
>
> Any insight much appreciated
>
> Simon.
>
>
>
> > set.seed(10,kind=NULL)
> > x <- runif(10)
> > g <- gl(2,5)
> > y <- runif(10)
> >
> > summary(lm(y ~ g*x))
>
> Call:
> lm(formula = y ~ g * x)
>
> Residuals:
> Min 1Q Median 3Q Max
> -0.35205 -0.14021 0.02486 0.13958 0.39671
>
> Coefficients:
> Estimate Std. Error t value Pr(>|t|)
> (Intercept) 0.3138 0.2749 1.141 0.297
> g2 -0.1568 0.4339 -0.361 0.730
> x 0.3556 0.6082 0.585 0.580
> g2:x 0.3018 1.0522 0.287 0.784
>
> Residual standard error: 0.276 on 6 degrees of freedom
> Multiple R-Squared: 0.1491, Adjusted R-squared: -0.2763
> F-statistic: 0.3505 on 3 and 6 DF, p-value: 0.7907
>
> > summary(lm(y ~ g/x-1))
>
> Call:
> lm(formula = y ~ g/x - 1)
>
> Residuals:
> Min 1Q Median 3Q Max
> -0.35205 -0.14021 0.02486 0.13958 0.39671
>
> Coefficients:
> Estimate Std. Error t value Pr(>|t|)
> g1 0.3138 0.2749 1.141 0.297
> g2 0.1570 0.3357 0.468 0.657
> g1:x 0.3556 0.6082 0.585 0.580
> g2:x 0.6574 0.8586 0.766 0.473
>
> Residual standard error: 0.276 on 6 degrees of freedom
> Multiple R-Squared: 0.8061, Adjusted R-squared: 0.6769
> F-statistic: 6.237 on 4 and 6 DF, p-value: 0.02491
>
>
>
> --please do not edit the information below--
>
> Version:
> platform = i386-pc-mingw32
> arch = i386
> os = mingw32
> system = i386, mingw32
> status =
> major = 1
> minor = 8.0
> year = 2003
> month = 10
> day = 08
> language = R
>
> Windows ME 4.90 (build 3000)
>
> Search Path:
> .GlobalEnv, package:methods, package:ctest, package:mva, package:modreg,
> package:nls, package:ts, Autoloads, package:base
> ---
>
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