Programming the statistical procedures from SAS

How to calculate pseudo R-Squared in proc GAM?

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How to calculate pseudo R-Squared in proc GAM?

Hi folks;

I've run gam procedure to a data set and got the following output table. I wonder how I can calculate a pseudo R-Squared with the help of deviance.

Number of Observations49988
Number of Missing Observations12
DistributionGaussian
Link FunctionIdentity

Final Number of Backfitting Iterations4
Final Backfitting Criterion1.6618101E-9
The Deviance of the Final Estimate240768.87317

  
The backfitting algorithm converged.

Thanks!

Issac


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‎11-29-2012 02:25 PM
SAS Employee
Posts: 6

Re: How to calculate pseudo R-Squared in proc GAM?

One possibility is discussed in Cameron and Trevedi's "Regression Analysis of Count Data" which describes the deviance as the GLM generalization of the sum of squares. They refer to two papers by Cameron and Windmeijer where a pseudo-R-squared is proposed based on a decomposition of the deviance. In essence, the proposal is to use R2 = 1-(D(intercept-only-model)/D(full-model)). I would recommend reviewing the original papers to verify that the interpretation is appropriate for your particular model before using the result.

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‎11-29-2012 02:25 PM
SAS Employee
Posts: 6

Re: How to calculate pseudo R-Squared in proc GAM?

One possibility is discussed in Cameron and Trevedi's "Regression Analysis of Count Data" which describes the deviance as the GLM generalization of the sum of squares. They refer to two papers by Cameron and Windmeijer where a pseudo-R-squared is proposed based on a decomposition of the deviance. In essence, the proposal is to use R2 = 1-(D(intercept-only-model)/D(full-model)). I would recommend reviewing the original papers to verify that the interpretation is appropriate for your particular model before using the result.

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