[R] Coefficient of determination for generalized linear models

eric.e.harper at us.abb.com eric.e.harper at us.abb.com
Wed Apr 9 16:47:14 CEST 2008

   Thanks in advance for your kind attention.

   I am using R to fit empirical data to generalized linear models. AIC (Akaike
   information criterion) is a measure of the goodness of fit returned by calls
   to glm(). I would also like to calculate the coefficient of determination
   R2,  although  there  is  no  consensus about the exact definition for
   generalized models

   I  found  a package “pscl” with a pR2 function that computes pseudo-R2
   measures for various GLMs. The arguments to the call are a fitted model
   object of class glm, polr, or mulitnom, and then ‘additional arguments to be
   passed to or from functions’.

   The example from the documentation works well.

   Browse[1]> data(admit)

   Browse[1]> require(MASS)

   Browse[1]> ## ordered probit model

   Browse[1]> op1 <- polr(score ~ gre.quant + gre.verbal + ap + pt + female,

   + Hess=TRUE,

   + data=admit,

   + method="probit")

   Browse[1]> pR2(op1)

              llh       llhNull            G2      McFadden          r2ML

   -106.5088203   -151.0299826     89.0423245     0.2947836     0.5682989


   When I try with a glm object rather than polr, I get the following error:

   Browse[1]> class(fit[[2]])

   [1] "glm" "lm"

   Browse[1]> pR2(fit[[2]])

   Error in inherits(x, "data.frame") : object "ds" not found

   The ds object does exist in the environment, but I do not know how to pass
   it into pR2:

   Browse[1]> class(ds)

   [1] "data.frame"

   Browse[1]> pR2(fit[[2]], ds)

   Error in inherits(x, "data.frame") : object "ds" not found

   Browse[1]> pR2

   function (object, ...)




   <environment: namespace:pscl>


   Question 1: How do I find the complete argument signature for pR2 in order
   to perhaps pass it the ds object?

   Question 2: If pR2 does not work with glm objects (for some unknown reason),
   is there another function I can use to calculate R-squared and adjusted
   R-squared for a generalized linear model?

   Best regards,



   1. http://en.wikipedia.org/wiki/Coefficient_of_determination

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