# 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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