[R] help with regsubsets

[Yasir Kaheil]

is it possible that regsubsets divides the subset dataset into training and
testing set.. so when it calculates R^2 it's not the same as what you'd get
with lm. You probably need to look into the source code to know if this is
true or not



Edwards, David J wrote:
> 
> Hi,
>  
> I'm new to R and this mailing list, so I will attempt to state my question
> as appropriately as possible. 
>  
> I am running R version 2.7 with Windows XP and have recently been
> exploring the use of the function regsubsets in the leaps package in order
> to perform all-subsets regression. 
>  
> So, I'm calling the function as:
>  
> sub=regsubsets(X,Y,nbest=5,nvmax=maxnv,method="exhaustive",really.big=F)
>  
> I'm dealing with 14 observations and 23 variables and I'm aware of the
> linear dependencies that arise in these situations.  I also know that
> regsubsets performs a branch-and-bound algorithm and that at times it is
> necessary to reorder the variables. 
>  
> However, anytime I get the message: "Reordering variables and trying
> again" the R^2 for a model chosen by regsubsets does not match the R^2 I
> get from fitting the same model using the usual linear model function
> (lm).  If I don't get the "Reordering variables and trying again" message,
> I don't have any problems with R^2 (i.e. regubsets and lm match). 
>  
> Just for example, suppose the best 1-variable model chosen by regsubsets
> gives me an R^2 of 0.665. Fitting that same model using lm gives me an R^2
> of 0.6317.  
>  
> Does anyone have any insight on why this may be happening? 
>  
> 
> 	[[alternative HTML version deleted]]
> 
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> 
> 


-----
Yasir H. Kaheil, Ph.D.
Catchment Research Facility
The University of Western Ontario 

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