Ahh, I remember this now. You are right. Sorry for the bother.
On 7/20/06, Allin Cottrell <cottrell(a)wfu.edu> wrote: > On Thu, 20 Jul 2006, Talha Yalta wrote: > > > I want to draw attention to gretl's results in calculating the > > R^2 for the noint1 a noint2 data sets. Results are very poor > > with both QR and Cholesky methods. Can there be a bug that > > affects calculating the R^2 in regressions without the > > constant term? > > Have you read the section dealing with this at > > http://gretl.sourceforge.net/nist/index.html > > <quote> > > In the NoInt1 and NoInt2 datasets there is a methodological > disagreement over the calculation of the coefficient of > determination, R^2, where the regression does not have an > intercept. gretl reports the square of the correlation > coefficient between the fitted and actual values of the > dependent variable in this case, while the NIST figure is > > R^2 = 1 - ESS / sum(y^2) > > There is no universal agreement among statisticians on the > "correct" formula (see for instance the discussion in > Ramanathan, 2002, pp. 163-4). Eviews 3.1 produces a different > figure again (which has a negative value for the NoInt test > files). The figure chosen by NIST was obtained for these > regressions using the command > > genr r2alt = 1 - $ess/sum(y * y) > > and the numbers thus obtained were in agreement with the > certified values, up to gretl's precision. > > </quote> > > Allin Cottrell > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)ricardo.ecn.wfu.edu > http://ricardo.ecn.wfu.edu/mailman/listinfo/gretl-users > -- A positive attitude may not solve all your problems, but it will annoy enough people to make it worth the effort. - Herm Allbright (1876-1944) --
