Comparative analysis of regression output summary statistics in common statistical packages


An important question in applied statistics is whether statistical regression programs output distorted summary statistics (F and R2) for a no-intercept regression model. Uyar and Erdem recently confirmed this problem using one of the premier statistical packages. This article extends the Uyar-Erdem experiment to eight common statistical and econometric regression packages. Only four of them warn users that the R2 has been redefined for a model without an explicit intercept. Consequently, the problem Uyar and Erdem identified extends in varying degrees, ranging from mild to severe, to many other regression packages. © 1993 Taylor & Francis Group, LLC.

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American Statistician