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How do I calculate the R^2?

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Chris Herdelin
Chris Herdelin on 8 Sep 2021
Answered: Jeff Miller on 8 Sep 2021
n=100;
alpha=1;
beta=1.5;
e = randn(n,1);
x=rand(n,1);
y=alpha + x*beta + e;
x=[ones(n,1), x];
bhat = inv(x'*x)*x'*y;
disp 'The OLS estimate of beta is';
disp(bhat);
resids = y - x*bhat;
s2 = resids'*resids/(n-2);
disp 'The OLS estimator of the error variance is';
disp(s2);

Answers (1)

Jeff Miller
Jeff Miller on 8 Sep 2021
Either of these:
Rsqr = corr(x(:,2),y)^2;
RsqrAlso = 1-(std(resids)/std(y))^2;

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