On Thu, 23 Aug 2012, Gary Dong wrote:
I'm wondering if the gls function reports pseudo R. I do not see it by
summary(). If the package does not report, can I calculate it in this
way?
Adjusted pseudo R squared = 1 - [(Loglik(beta) - k ) / Loglik(null)] where
k is the number of IVs.
We've been using this R² instead, but I'm not sure if it is available in
any package:
Buse, A. (1973), "Goodness of Fit in Generalized Least Squares
Estimation," American Statistician, 27, 106-108.
http://www.jstor.org/stable/10.2307/2683631
Equation 15. Make sure to compute y-bar correctly (it is the regression
coefficient in the intercept-only model).
To do GLS, we have been using OLS after transformation (multiplying by the
"T" matrix in Buse's notation) where T'T = inv(V). So the equation on the
final page works for us.
Let me know if you can't access that PDF and I'll send a copy.
Mike
--
Michael B. Miller, Ph.D.
Minnesota Center for Twin and Family Research
Department of Psychology
University of Minnesota
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