Re: [R] Obtaining the adjusted r-square given the regression coef ficients

From: Pfaff, Bernhard Dr. <Bernhard_Pfaff_at_fra.invesco.com>
Date: Wed 11 Jan 2006 - 20:16:46 EST


Hello Alexandra,

R2 is only defined for regressions with intercept. See a decent econometrics textbook for its derivation.

HTH,
Bernhard

-----Ursprüngliche Nachricht-----
Von: Alexandra R. M. de Almeida [mailto:alexandrarma@yahoo.com.br] Gesendet: Mittwoch, 11. Januar 2006 03:48 An: r-help@stat.math.ethz.ch
Betreff: [R] Obtaining the adjusted r-square given the regression coefficients

Dear list   

I want to obtain the adjusted r-square given a set of coefficients (without the intercept), and I don't know if there is a function that does it.

Exist????????????????

I know that if you make a linear regression, you enter the dataset and have in "summary" the adjusted r-square. But this is calculated using the coefficients that R obtained,and I want other coefficients that i calculated separately and differently (without the intercept term too). I have made a function based in the equations of the book "Linear Regression Analisys" (Wiley Series in probability and mathematical statistics), but it doesn't return values between 0 and 1. What is wrong???? The functions is given by:                   

adjustedR2<-function(Y,X,saM)
{

 if(is.matrix(Y)==F) (Y<-as.matrix(Y))    
 if(is.matrix(X)==F) (X<-as.matrix(X))    
 if(is.matrix(saM)==F) (saM<-as.matrix(saM))  
 RX<-rent.matrix(X,1)$Rentabilidade.tipo  RY<-rent.matrix(Y,1)$Rentabilidade.tipo
 r2m<-matrix(0,nrow=ncol(Y),ncol=1)   
 RSS<-matrix(0,ncol=ncol(Y),nrow=1)   
 SYY<-matrix(0,ncol=ncol(Y),nrow=1)   

 for (i in 1:ncol(RY))
 {
    RSS[,i]<-(t(RY[,i])%*%RY[,i])-(saM[i,]%*%(t(RX)%*%RX)%*%t(saM)[,i])   
    SYY[,i]<-sum((RY[,i]-mean(RY[,i]))^2)    
    r2m[i,]<-1-(RSS[,i]/SYY[,i])*((nrow(RY))/(nrow(RY)-ncol(saM)-1))    
 }
 dimnames(r2m)<-list(colnames(Y),c("Adjusted R-square"))  return(r2m)
}   

  Thanks!
Alexandra

  Alexandra R. Mendes de Almeida                                                                   


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