[R] r2 for lm() with zero intercept
Berwin A Turlach
berwin at maths.uwa.edu.au
Tue Dec 2 06:17:05 CET 2008
G'day Glenn,
On Tue, 2 Dec 2008 12:53:44 +1100
<Glenn.Newnham at csiro.au> wrote:
> I'm a little confused about the R2 and adjusted R2 values reported by
> lm() when I try to fix an intercept. When using +0 or -1 in the
> formula I have found that the standard error generally increases (as
> I would expect) but the R2 also increases (which seems counter
> intuitive).
?summary.lm
In particular the part:
r.squared: R^2, the 'fraction of variance explained by the model',
R^2 = 1 - Sum(R[i]^2) / Sum((y[i]- y*)^2),
where y* is the mean of y[i] if there is an intercept and
zero otherwise.
> I do realise that many will say I shouldn't be fixing the intercept
> anyway
Quite true; accept if there are very good reasons. I have seen
intercept through the origin being misused to obtain a large R^2 and
significant coefficient when there were none.
Cheers,
Berwin
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Berwin A Turlach Tel.: +65 6516 4416 (secr)
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