[R] Question on lm(): When does R-squared come out as NA?

[Prof Brian Ripley]

I've not seen a reply to this, nor ever seen it.
Please make a reproducible example available (do see the posting guide).

On Sun, 25 Sep 2005, Ajay Narottam Shah wrote:

> I have a situation with a large dataset (3000+ observations), where
> I'm doing lags as regressors, where I get:
>
> Call:
> lm(formula = rj ~ rM + rM.1 + rM.2 + rM.3 + rM.4)
>
> Residuals:
> 1990-06-04 1994-11-14 1998-08-21 2002-03-13 2005-09-15
>  -5.64672   -0.59596   -0.04143    0.55412    8.18229
>
> Coefficients:
>             Estimate Std. Error t value Pr(>|t|)
> (Intercept) -0.003297   0.017603  -0.187    0.851
> rM           0.845169   0.010522  80.322   <2e-16 ***
> rM.1         0.116330   0.010692  10.880   <2e-16 ***
> rM.2         0.002044   0.010686   0.191    0.848
> rM.3         0.013181   0.010692   1.233    0.218
> rM.4         0.009587   0.010525   0.911    0.362
> ---
> Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
>
> Residual standard error: 1.044 on 3532 degrees of freedom
> Multiple R-Squared:    NA,	Adjusted R-squared:    NA
> F-statistic:    NA on 5 and 3532 DF,  p-value: NA
>
>
> rM.1, rM.2, etc. are lagged values of rM. The OLS seems fine in every
> respect, except that there is an NA as the multiple R-squared. I will
> be happy to give sample data to someone curious about what is going
> on. I wondered if this was a well-known pathology. The way I know it,
> if the data allows computation of (X'X)^{-1}, one can compute the R2.
>
> -- 
> Ajay Shah                                                   Consultant
> ajayshah at mayin.org                      Department of Economic Affairs
> http://www.mayin.org/ajayshah           Ministry of Finance, New Delhi
>
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-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
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