[R] Query on R-squared correlation coefficient for linear regression through origin

[Rui Barradas]

Hello,

As for R^2 in Excel for models without an intercept, maybe the following 
are relevant.

https://support.microsoft.com/en-us/help/829249/you-will-receive-an-incorrect-r-squared-value-in-the-chart-tool-in-exc

https://stat.ethz.ch/pipermail/r-help/2012-July/318347.html


Hope this helps,

Rui Barradas

Às 11:56 de 27/09/2018, Patrick Barrie escreveu:
> I have a query on the R-squared correlation coefficient for linear
> regression through the origin.
> 
> The general expression for R-squared in regression (whether linear or
> non-linear) is
> R-squared = 1 - sum(y-ypredicted)^2 / sum(y-ybar)^2
> 
> However, the lm function within R does not seem to use this expression
> when the intercept is constrained to be zero. It gives results different
> to Excel and other data analysis packages.
> 
> As an example (using built-in cars dataframe):
>>   cars.lm=lm(dist ~ 0+speed, data=cars)     # linear regression through
> origin
>> summary(cars.lm)$r.squared # report R-squared [1] 0.8962893 >
> 1-deviance(cars.lm)/sum((cars$dist-mean(cars$dist))^2)     # calculates
> R-squared directly [1] 0.6018997 > # The latter corresponds to the value
> reported by Excel (and other data analysis packages) > > # Note that we
> expect R-squared to be smaller for linear regression through the origin
>   > # than for linear regression without a constraint (which is 0.6511 in
> this example)
> 
> Does anyone know what R is doing in this case? Is there an option to get
> R to return what I termed the "general" expression for R-squared? The
> adjusted R-squared value is also affected. [Other parameters all seem
> correct.]
> 
> Thanks for any help on this issue,
> 
> Patrick
> 
> P.S. I believe old versions of Excel (before 2003) also had this issue.
>