is it possible that regsubsets divides the subset dataset into training and testing set.. so when it calculates R^2 it's not the same as what you'd get with lm. You probably need to look into the source code to know if this is true or not
Edwards, David J wrote: > > Hi, > > I'm new to R and this mailing list, so I will attempt to state my question > as appropriately as possible. > > I am running R version 2.7 with Windows XP and have recently been > exploring the use of the function regsubsets in the leaps package in order > to perform all-subsets regression. > > So, I'm calling the function as: > > sub=regsubsets(X,Y,nbest=5,nvmax=maxnv,method="exhaustive",really.big=F) > > I'm dealing with 14 observations and 23 variables and I'm aware of the > linear dependencies that arise in these situations. I also know that > regsubsets performs a branch-and-bound algorithm and that at times it is > necessary to reorder the variables. > > However, anytime I get the message: "Reordering variables and trying > again" the R^2 for a model chosen by regsubsets does not match the R^2 I > get from fitting the same model using the usual linear model function > (lm). If I don't get the "Reordering variables and trying again" message, > I don't have any problems with R^2 (i.e. regubsets and lm match). > > Just for example, suppose the best 1-variable model chosen by regsubsets > gives me an R^2 of 0.665. Fitting that same model using lm gives me an R^2 > of 0.6317. > > Does anyone have any insight on why this may be happening? > > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > > ----- Yasir H. Kaheil, Ph.D. Catchment Research Facility The University of Western Ontario -- View this message in context: http://www.nabble.com/help-with-regsubsets-tp17115128p17136650.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.