topic Re: adjusted R-squared in PROC GLM in SAS Programming

adjusted R-squared in PROC GLM

Jonate_H — Wed, 31 Dec 2014 05:25:56 GMT

What option will help the following PROC GLM to also report adjusted R-squared? thanks!

PROC GLM DATA=have ;

ABSORB year;

MODEL y = a b c /solution noint ;

RUN;

QUIT;

Re: adjusted R-squared in PROC GLM

mohamed_zaki — Wed, 31 Dec 2014 07:17:12 GMT

I do not think there is such option why do not you use PROC RSQUARE

Re: adjusted R-squared in PROC GLM

SteveDenham — Wed, 31 Dec 2014 17:48:02 GMT

A couple of points: R squared and adjusted R squared are oddly defined with models without intercepts. Still, you could plug the R-squared value obtained from GLM into the formula for adjusted R squared (no intercept):

ADJRSQ(no int) = 1 - n * (1 - R^2)/(n - p), where n is the number of observations and p is the number of parameters fit.

Steve Denham

Re: adjusted R-squared in PROC GLM

Jonate_H — Wed, 31 Dec 2014 20:42:01 GMT

Thank you Steve! that's very helpful.

Re: adjusted R-squared in PROC GLM

Jonate_H — Wed, 31 Dec 2014 20:42:45 GMT

Thank you Mohamed!

Re: adjusted R-squared in PROC GLM

Tue, 28 Apr 2015 17:17:39 GMT

Steve et al.,

It was not clear to me if the model the R^2 value came from had to have any type of option in regards to the intercept or not. Do I run a normal proc glm when getting the R^2 value for the calculation. Also, do you know the name of this particular R^2 adjustment?

Thanks!

Re: adjusted R-squared in PROC GLM

Tue, 28 Apr 2015 18:08:36 GMT

I didn't see a "-1" in the df line, so I am guessing the "noint" option needs to be used with the proc glm statement that generates the R^2, correct?

Re: adjusted R-squared in PROC GLM

Tue, 28 Apr 2015 18:15:37 GMT

Sidenote, I get this in my Log:

"NOTE: Due to the presence of CLASS variables, an intercept is implicitly fitted. R-Square has

been corrected for the mean."

Re: adjusted R-squared in PROC GLM

SteveDenham — Tue, 28 Apr 2015 18:49:53 GMT

The formula I gave for the adjusted R^2 is just the standard adjustment, except that the n-1 in the numerator and denominator is replaced by n, since the intercept is not estimated. I don't remember where I found that, but Draper and Smith would be a good place to start. It needs to be the value obtained with the noint option, for it to be consistent. It is a measure of the association between the response and the X values, both considered as deviations from zero, rather than deviations from the mean.

Steve Denham

Re: adjusted R-squared in PROC GLM

KALLEN — Mon, 20 May 2019 15:52:25 GMT

Is p the number of parameters including or excluding the intercept?