Basically, I used the without intercept to get an estimate for each of my factor levels instead of using a reference class. So I use a kind of hidden intercept.
I should have noticed that the behavior was documented in ?summary.lm. Sorry for the inconvenience. Lieven Duncan Murdoch-2 wrote: > > On 12/14/2007 8:10 AM, [EMAIL PROTECTED] wrote: >> Full_Name: lieven clement >> Version: R version 2.4.0 Patched (2006-11-25 r39997) >> OS: i486-pc-linux-gnu >> Submission from: (NULL) (157.193.193.180) >> >> >> summary.lm() does not calculate R² accurately for models without >> intercepts if >> one of the predictor variables is a factor. >> In order to avoid one of the factor levels to be considered as a >> reference class >> you can use the -1 option in a formula. When you use this, R² is not >> correctly >> calculated. > > This is not a bug. A model without an intercept should be using y=0 as > a reference. > > Duncan Murdoch > >> >>> x1<-rnorm(100) >>> x2<-c(rep(0,25),rep(10,25),rep(20,25),rep(30,25)) >>> y<-10*x1+x2+rnorm(100,0,4) >>> x2<-as.factor(x2) >>> lmtest<-lm(y~-1+x1+x2) >>> summary(lmtest)$r.sq >> [1] 0.9650201 >>> 1-sum(lmtest$res^2)/sum((y-mean(y))^2) >> [1] 0.9342672 >> >> The R squared by summary is calculated as >>> 1-sum(lmtest$res^2)/sum((y)^2) >> [1] 0.9650201 >> apparently because lm.summary assumes the mean of y to be zero. >> >> In case of an intercept model everything seems ok >>> lmtest<-lm(y~x1+x2) >>> summary(lmtest)$r.sq >> [1] 0.9342672 >>> 1-sum(lmtest$res^2)/sum((y-mean(y))^2) >> [1] 0.9342672 >> >> ______________________________________________ >> R-devel@r-project.org mailing list >> https://stat.ethz.ch/mailman/listinfo/r-devel > > ______________________________________________ > R-devel@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-devel > > -- View this message in context: http://www.nabble.com/Rsquared-bug-lm%28%29-%28PR-10516%29-tp14335791p14370172.html Sent from the R devel mailing list archive at Nabble.com. ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
