[R] R.squared in Weighted Least Square using the Lm Function

From: Charles <boom2k1_at_yahoo.com.au>
Date: Sat 26 Aug 2006 - 02:49:09 EST


Hello all,
I am using the function lm to do my weighted least square regression.

model<-lm(Y~X1+X2, weight=w)

What I am confused is the r.squared.
It does not seem that the r.squared for the weighted case is an ordinary 1-RSS/TSS.
What is that precisely?
Is the r.squared measure comparable to that obtained by the ordinary least square?

<I also notice that
model$res is the unweighted residual while
summary(model)$res is the weighted residual>

Thank you in advance for helping!

Charles



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