On Mon, 29 Mar 2004 20:21:27 GMT, [EMAIL PROTECTED] (Erik) wrote: > Hi all, > > When EViews is used to estimate a regression equation without an intercept > term, the R^2-value is computed incorrectly. Does anyone know of a routine > or module that corrects for this, so that I don't need to program it myself > every single time?
You are probably making a *fundamental* mistake to specify the no-intercept model -- if you don't know enough about it to know that it uses (sometimes) a more general definition of R-square. === something in my stats-FAQ, which I originally posted in 1995, === answering a question about why R-squared came out negative - : Y = a * X + error : a = (Sum of XiYi) / (Sum of Xi ** 2) : total SS = (Sum of Yi) ** 2, with total DF = n You can use this formula if you want, but, I think that one should ALWAYS note at this point that a choice has been made to abandon the usual definition, where the total SS is mean-corrected. So, R2 computed this way cannot be compared to R2 from regressions that include the origin, and which use that smaller Total SS. This has been discussed here before, and I, for one, was persuaded that I should use the above formula only on rare occasions (mainly, where there was absolutely no doubt about the zero intercept). The residual after regression through zero can be larger than the mean-adjusted Total SS, in which case the Regression effect SS, and R2 - computed by subtraction - comes out negative. That is not a great kind of result to have, but I prefer explaining that occasional outcome (negative R2, showing a totally inadequate regression model) over the ever-present need of explaining the two definitions of R2. === You can find more recent comments by searching in groups.google with an Advanced search in < sci.stat.* > . -- Rich Ulrich, [EMAIL PROTECTED] http://www.pitt.edu/~wpilib/index.html - I need a new job, after March 31. Openings? - . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
