[R] Obtaining the adjusted r-square given the regression coef ficients
Pfaff, Bernhard Dr.
Bernhard_Pfaff at fra.invesco.com
Wed Jan 11 10:16:46 CET 2006
Hello Alexandra,
R2 is only defined for regressions with intercept. See a decent econometrics
textbook for its derivation.
HTH,
Bernhard
-----Ursprüngliche Nachricht-----
Von: Alexandra R. M. de Almeida [mailto:alexandrarma at yahoo.com.br]
Gesendet: Mittwoch, 11. Januar 2006 03:48
An: r-help at stat.math.ethz.ch
Betreff: [R] Obtaining the adjusted r-square given the regression
coefficients
Dear list
I want to obtain the adjusted r-square given a set of coefficients (without
the intercept), and I don't know if there is a function that does it.
Exist????????????????
I know that if you make a linear regression, you enter the dataset and have
in "summary" the adjusted r-square. But this is calculated using the
coefficients that R obtained,and I want other coefficients that i calculated
separately and differently (without the intercept term too).
I have made a function based in the equations of the book "Linear Regression
Analisys" (Wiley Series in probability and mathematical statistics), but it
doesn't return values between 0 and 1. What is wrong????
The functions is given by:
adjustedR2<-function(Y,X,saM)
{
if(is.matrix(Y)==F) (Y<-as.matrix(Y))
if(is.matrix(X)==F) (X<-as.matrix(X))
if(is.matrix(saM)==F) (saM<-as.matrix(saM))
RX<-rent.matrix(X,1)$Rentabilidade.tipo
RY<-rent.matrix(Y,1)$Rentabilidade.tipo
r2m<-matrix(0,nrow=ncol(Y),ncol=1)
RSS<-matrix(0,ncol=ncol(Y),nrow=1)
SYY<-matrix(0,ncol=ncol(Y),nrow=1)
for (i in 1:ncol(RY))
{
RSS[,i]<-(t(RY[,i])%*%RY[,i])-(saM[i,]%*%(t(RX)%*%RX)%*%t(saM)[,i])
SYY[,i]<-sum((RY[,i]-mean(RY[,i]))^2)
r2m[i,]<-1-(RSS[,i]/SYY[,i])*((nrow(RY))/(nrow(RY)-ncol(saM)-1))
}
dimnames(r2m)<-list(colnames(Y),c("Adjusted R-square"))
return(r2m)
}
Thanks!
Alexandra
Alexandra R. Mendes de Almeida
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