[R] r2 for lm() with zero intercept

[Glenn.Newnham at csiro.au]

Thanks Berwin
Obviously the code is functioning properly then, but do you consider this the best way of computing R^2 for a zero intercept? I just checked what excel and genstat do in this situation and the R^2 they come up with reduces for a zero intercept rather than increases. This seems more logical to me since fixing the intercept leads to a model that, at least in appearance, explains less of the variance in the data.

Cheers, Glenn

-----Original Message-----
From: Berwin A Turlach [mailto:berwin at maths.uwa.edu.au] 
Sent: Tuesday, 2 December 2008 4:17 PM
To: Newnham, Glenn (CSE, Clayton)
Cc: r-help at r-project.org
Subject: Re: [R] r2 for lm() with zero intercept

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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