[R] Is this *always* the intended R^2 value for no intercept in lm?
Bert Gunter
bgunter@4567 @end|ng |rom gm@||@com
Sat Nov 5 20:40:35 CET 2022
FAQ 7.41
and
https://stackoverflow.com/questions/57415793/r-squared-in-lm-for-zero-intercept-model
(among numerous others that could no doubt be found with a bit of
searching).
In short, the "null models" against which you are comparing the fitted
model are different with and without an intercept.
--Bert
On Sat, Nov 5, 2022 at 11:52 AM Thierry Zell <thierry.zell using gmail.com> wrote:
> I am puzzled by the computation of R^2 with intercept omitted that is
> already illustrated by the following example taken from help("lm")
>
> ## Annette Dobson (1990) "An Introduction to Generalized Linear Models".
> ## Page 9: Plant Weight Data.
> ctl <- c(4.17,5.58,5.18,6.11,4.50,4.61,5.17,4.53,5.33,5.14)
> trt <- c(4.81,4.17,4.41,3.59,5.87,3.83,6.03,4.89,4.32,4.69)
> group <- gl(2, 10, 20, labels = c("Ctl","Trt"))
> weight <- c(ctl, trt)
> lm.D9 <- lm(weight ~ group)
> lm.D90 <- lm(weight ~ group - 1) # omitting intercept
>
> The calculations for the R^2 for both models are consistent with the
> help("summary.lm") description:
> "y* is the mean of y[i] if there is an intercept and zero otherwise."
> Which causes a dramatic difference in the resulting R^2 values.
>
> r2.D9 <- summary(lm.D9)$r.squared
> r2.D90 <- summary(lm.D90)$r.squared
>
> all.equal(r2.D9, 0.0730775989903856) #TRUE
> all.equal(r2.D90, 0.981783272435264) #TRUE
>
> This is counter-intuitive to say the least since the two models have
> identical predictions and both models could be described more
> accurately as two intercepts rather than zero. I see three
> possibilities:
>
> 1. This is the intended result, in which case no fix is required, but
> I’d be curious to understand the argument better.
> 2. This is an unfortunate outcome but not worth fixing as the user can
> easily compute the correct R^2. In this case, I'd suggest that this
> unintuitive behavior should be explicitly called out in the
> documentation.
> 3. This is a bug worth fixing.
>
> I look forward to hearing the community’s opinion on this.
> Thanks in advance!
>
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