[R] R-squared value for linear regression passing through origin using lm()

[S Ellison]

>I think there is reason to be surprised, I am, too. ...
>What am I missing?

Read the formula and ?summary.lm more closely. The denominator,

Sum((y[i]- y*)^2) 

is very large if the mean value of y is substantially nonzero and y*
set to 0 as the calculation implies for a forced zero intercept. In
effect, the calculation provides the fraction of sum of squared
deviations from the mean for the case with intercept, but the fraction
of sum of squared y ('about' zero) for the non-intercept case. 

This is surprising if you automatically assume that better R^2 means
better fit. I guess that explains why statisticians tell you not to use
R^2 as a goodness-of-fit indicator.


>>> Ralf Goertz <R_Goertz at web.de> 18/10/2007 13:11:55 >>>
>>   r.squared: R^2, the 'fraction of variance explained by the
model',
> >
> >              R^2 = 1 - Sum(R[i]^2) / Sum((y[i]- y*)^2),
> >
>>             where y* is the mean of y[i] if there is an intercept
and
>>             zero otherwise.

Ralf

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