Re: [Gretl-users] QR versus Cholesky decomposition

On Thu, 20 Jul 2006, Talha Yalta wrote: > I want to draw attention to gretl's results in calculating the > R^2 for the noint1 a noint2 data sets. Results are very poor > with both QR and Cholesky methods. Can there be a bug that > affects calculating the R^2 in regressions without the > constant term? Have you read the section dealing with this at http://gretl.sourceforge.net/nist/index.html <quote> In the NoInt1 and NoInt2 datasets there is a methodological disagreement over the calculation of the coefficient of determination, R^2, where the regression does not have an intercept. gretl reports the square of the correlation coefficient between the fitted and actual values of the dependent variable in this case, while the NIST figure is R^2 = 1 - ESS / sum(y^2) There is no universal agreement among statisticians on the "correct" formula (see for instance the discussion in Ramanathan, 2002, pp. 163-4). Eviews 3.1 produces a different figure again (which has a negative value for the NoInt test files). The figure chosen by NIST was obtained for these regressions using the command genr r2alt = 1 - $ess/sum(y * y) and the numbers thus obtained were in agreement with the certified values, up to gretl's precision. </quote> Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)ricardo.ecn.wfu.edu http://ricardo.ecn.wfu.edu/mailman/listinfo/gretl-users