> Yes, as it relates 'explained sum of squares' to 'total sum of > squares', so it just uses residuals, irrespective of whether these > were computed with a unit vector of weights, or with actual weights. > > Wikipedia is not a bad start: > http://en.wikipedia.org/wiki/R-squared
Well, that wiki page says: "If fitting is by weighted least squares or generalized least squares, alternative versions of R2 can be calculated appropriate to those statistical frameworks," If you use the weights in calculating the residuals then it seems you'd have to use them in the total sum of squares too. In the GNU R source, the file src/library/stats/R/lm.R has the code which calculates R^2 and it definitely takes weights into account for both the residuals and the total sum of squares.
