[R] Question on lm(): When does R-squared come out as NA?

[Ajay Narottam Shah]

On Wed, Sep 28, 2005 at 08:23:59AM +0100, Prof Brian Ripley wrote:
> I've not seen a reply to this, nor ever seen it.
> Please make a reproducible example available (do see the posting guide).

It was a mistake on my part. Just in case others are able to
recognise the situation, what was going on was that all the objects
being used in the lm() call were zoo objects.

It is a mystery to me as to why everything should work correctly but
the R2 should break, but that happened. I found that when I switched
to coredata(z) all was well.

Gabor reminded me that I should really be using his dyn package so as
to avoid such situations. Sorry for the false alarm,

   -ans.

> >lm(formula = rj ~ rM + rM.1 + rM.2 + rM.3 + rM.4)
> >
> >Residuals:
> >1990-06-04 1994-11-14 1998-08-21 2002-03-13 2005-09-15
> > -5.64672   -0.59596   -0.04143    0.55412    8.18229
> >
> >Coefficients:
> >            Estimate Std. Error t value Pr(>|t|)
> >(Intercept) -0.003297   0.017603  -0.187    0.851
> >rM           0.845169   0.010522  80.322   <2e-16 ***
> >rM.1         0.116330   0.010692  10.880   <2e-16 ***
> >rM.2         0.002044   0.010686   0.191    0.848
> >rM.3         0.013181   0.010692   1.233    0.218
> >rM.4         0.009587   0.010525   0.911    0.362
> >---
> >Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
> >
> >Residual standard error: 1.044 on 3532 degrees of freedom
> >Multiple R-Squared:    NA,	Adjusted R-squared:    NA
> >F-statistic:    NA on 5 and 3532 DF,  p-value: NA
> >
> >
> >rM.1, rM.2, etc. are lagged values of rM. The OLS seems fine in every
> >respect, except that there is an NA as the multiple R-squared. I will
> >be happy to give sample data to someone curious about what is going
> >on. I wondered if this was a well-known pathology. The way I know it,
> >if the data allows computation of (X'X)^{-1}, one can compute the R2.

-- 
Ajay Shah                                                   Consultant
ajayshah at mayin.org                      Department of Economic Affairs
http://www.mayin.org/ajayshah           Ministry of Finance, New Delhi