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