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:[EMAIL PROTECTED] Gesendet: Mittwoch, 11. Januar 2006 03:48 An: r-help@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 --------------------------------- [[alternative HTML version deleted]] ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html ***************************************************************** Confidentiality Note: The information contained in this mess...{{dropped}} ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
