Following some old advice on this list, I have been reading the code for
summary.lm to understand the computation of R-squared from a weighted
regression. Usually weights in lm are applied to squared residuals, but I see
that the weighted mean of the observations is calculated as if the weights are
on the original scale:
[...]
f <- z$fitted.values
w <- z$weights
[...]
m <- sum(w * f/sum(w))
[mss <-] sum(w * (f - m)^2)
[...]
This seems inconsistent to me. What am I missing?
Murray Efford
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