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Pseudo R squared in gls model
2 messages · Gary Dong, Mike Miller
On Thu, 23 Aug 2012, Gary Dong wrote:
I'm wondering if the gls function reports pseudo R. I do not see it by summary(). If the package does not report, can I calculate it in this way? Adjusted pseudo R squared = 1 - [(Loglik(beta) - k ) / Loglik(null)] where k is the number of IVs.
We've been using this R? instead, but I'm not sure if it is available in any package: Buse, A. (1973), "Goodness of Fit in Generalized Least Squares Estimation," American Statistician, 27, 106-108. http://www.jstor.org/stable/10.2307/2683631 Equation 15. Make sure to compute y-bar correctly (it is the regression coefficient in the intercept-only model). To do GLS, we have been using OLS after transformation (multiplying by the "T" matrix in Buse's notation) where T'T = inv(V). So the equation on the final page works for us. Let me know if you can't access that PDF and I'll send a copy. Mike
Michael B. Miller, Ph.D. Minnesota Center for Twin and Family Research Department of Psychology University of Minnesota