add hasconstant indicator for R-squared and df calculations
Bug #574004 reported by
joep
This bug affects 1 person
Affects | Status | Importance | Assigned to | Milestone | |
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statsmodels |
New
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Undecided
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Unassigned |
Bug Description
see also Bug #440151: fvalue and mse_model are -inf if only 1 regressor
The R-squared and df calculations assume that there is a constant among the regressors.
todo: add a hasconstant indicator and adjust calculations for df and R-squared
Notes: pandas did recently a similar change
R-squared is not really well defined without constant and there are several competing definitions, but for the simple case of regression without constant we should use the total sum of squares instead of mean corrected ???
I would keep the R-squared with constant for transformed regressors that loses the constant for the regression, (example of heteroscedastic
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