Re: Obtaining the adjusted r-square given the regression coef ficients

classic Classic list List threaded Threaded
1 message Options
Reply | Threaded
Open this post in threaded view
|

Re: Obtaining the adjusted r-square given the regression coef ficients

Pfaff, Bernhard Dr.
Hello Alexandra,

R2 is only defined for regressions with intercept. See a decent econometrics
textbook for its derivation.

HTH,
Bernhard

-----Urspr√ľngliche Nachricht-----
Von: Alexandra R. M. de Almeida [mailto:[hidden email]]
Gesendet: Mittwoch, 11. Januar 2006 03:48
An: [hidden email]
Betreff: [R] Obtaining the adjusted r-square given the regression
coefficients

Dear list
 
I want to obtain the adjusted r-square given a set of coefficients (without
the intercept), and I don't know if there is a function that does it.
Exist????????????????
I know that if you make a linear regression, you enter the dataset and have
in "summary" the adjusted r-square. But this is calculated using the
coefficients that R obtained,and I want other coefficients that i calculated
separately and differently (without the intercept term too).
I have made a function based in the equations of the book "Linear Regression
Analisys" (Wiley Series in probability and mathematical statistics), but it
doesn't return values between 0 and 1. What is wrong????
The functions is given by:

                 
adjustedR2<-function(Y,X,saM)
{
 if(is.matrix(Y)==F) (Y<-as.matrix(Y))    
 if(is.matrix(X)==F) (X<-as.matrix(X))    
 if(is.matrix(saM)==F) (saM<-as.matrix(saM))  
 RX<-rent.matrix(X,1)$Rentabilidade.tipo  
 RY<-rent.matrix(Y,1)$Rentabilidade.tipo  
 r2m<-matrix(0,nrow=ncol(Y),ncol=1)  
 RSS<-matrix(0,ncol=ncol(Y),nrow=1)  
 SYY<-matrix(0,ncol=ncol(Y),nrow=1)  
 for (i in 1:ncol(RY))    
 {    
    RSS[,i]<-(t(RY[,i])%*%RY[,i])-(saM[i,]%*%(t(RX)%*%RX)%*%t(saM)[,i])  
    SYY[,i]<-sum((RY[,i]-mean(RY[,i]))^2)    
    r2m[i,]<-1-(RSS[,i]/SYY[,i])*((nrow(RY))/(nrow(RY)-ncol(saM)-1))    
 }    
 dimnames(r2m)<-list(colnames(Y),c("Adjusted R-square"))  
 return(r2m)
}

 

  Thanks!
Alexandra



  Alexandra R. Mendes de Almeida

                                                 


               
---------------------------------

        [[alternative HTML version deleted]]

______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide!
http://www.R-project.org/posting-guide.html
*****************************************************************
Confidentiality Note: The information contained in this mess...{{dropped}}

______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html