Take the 2-minute tour ×
Cross Validated is a question and answer site for people interested in statistics, machine learning, data analysis, data mining, and data visualization. It's 100% free, no registration required.

My understanding is that R squared cannot be negative as it is the square of R. However I ran a simple linear regression in SPSS with a single independent variable and a dependent variable. My SPSS output give me a negative value for R-squared. If I was to calculate this by hand from R then R squared would be positive. What has SPSS done to calculate this as negative?

R=-.395
R squared =-.156
B (un-standardized)=-1261.611

Code I've used:

DATASET ACTIVATE DataSet1. 
REGRESSION /MISSING LISTWISE /STATISTICS COEFF OUTS R ANOVA 
           /CRITERIA=PIN(.05) POUT(.10) /NOORIGIN 
           /DEPENDENT valueP /METHOD=ENTER ageP

I get a negative value. Can anyone explain what this means?

Thanks. Negative RSquared

enter image description here

share|improve this question
3  
Does this answer your question? stats.stackexchange.com/questions/6181/… If not, then please provide more information: this is the "SPSS output" of what procedure? –  whuber Jul 11 '11 at 17:14
    
Thanks Whuber. Not it doesn't because there seems to be disagreement on whether or not R squared can be negative and I can't how it has calculated R squared as negative. I've edited the above. Please let me know if I need to add more details. Many thanks! –  Anne Jul 11 '11 at 17:52
1  
Does your linear regression model have an intercept? –  NPE Jul 11 '11 at 17:59
2  
@Anne Again, which SPSS procedure are you using? –  whuber Jul 11 '11 at 18:19
1  
@Anne I suggest you disregard the time series reply, because your data are not time series and you're not using a time series procedure. Are you really sure the R squared is given as a negative value? Its magnitude is correct: $(-0.395)^2=0.156$. I have looked through SPSS help to see whether perhaps as a convention the R-squared value for negative R's is negated, but I don't see any evidence that this is the case. Perhaps you could post a screen shot of the output where you are reading the R-squared? –  whuber Jul 11 '11 at 20:26

3 Answers 3

up vote 17 down vote accepted

$R^2$ compares the fit of the chosen model with that of a horizontal straight line (the null hypothesis). If the chosen model fits worse than a horizontal line, then $R^2$ is negative. Note that $R^2$ is not always the square of anything, so it can have a negative value without violating any rules of math. $R^2$ is negative only when the chosen model does not follow the trend of the data, so fits worse than a horizontal line.

Example: fit data to a linear regression model constrained so that the $Y$ intercept must equal $1500$.

enter image description here

The model makes no sense at all given these data. It is clearly the wrong model, perhaps chosen by accident.

The fit of the model (a straight line constrained to go through the point (0,1500)) is worse than the fit of a horizontal line. Thus the sum-of-squares from the model $(SS_\text{reg})$ is larger than the sum-of-squares from the horizontal line $(SS_\text{tot})$. $R^2$ is computed as $1 - \frac{SS_\text{reg}}{SS_\text{tot}}$. When $SS_\text{reg}$ is greater than $SS_\text{tot}$, that equation computes a negative value for $R^2$.

With linear regression with no constraints, $R^2$ must be positive (or zero) and equals the square of the correlation coefficient, $r$. A negative $R^2$ is only possible with linear regression when either the intercept or the slope are constrained so that the "best-fit" line (given the constraint) fits worse than a horizontal line. With nonlinear regression, the $R^2$ can be negative whenever the best-fit model (given the chosen equation, and its constraints, if any) fits the data worse than a horizontal line.

Bottom line: a negative $R^2$ is not a mathematical impossibility or the sign of a computer bug. It simply means that the chosen model (with its constraints) fits the data really poorly.

share|improve this answer
    
This is a nice illustration of the point made by @jefflovejapan. Where in the SPSS command is such a constraint specified? –  whuber Jul 13 '11 at 15:48
3  
@JMS That's the opposite of what my Googling indicates: "/ORIGIN" fixes the intercept at 0; "/NOORIGIN" "tells SPSS not to suppress the constant" (An Introductory Guide to SPSS for Windows) –  whuber Jul 13 '11 at 18:13
5  
@whuber Correct. @harvey-motulsky A negative R^2 value is a mathematical impossibility (and suggests a computer bug) for regular OLS regression (with an intercept). This is what the 'REGRESSION' command does and what the original poster is asking about. Also, for OLS regression, R^2 is the squared correlation between the predicted and the observed values. Hence, it must be non-negative. For simple OLS regression with one predictor, this is equivalent to the squared correlation between the predictor and the dependent variable -- again, this must be non-negative. –  Wolfgang Jul 14 '11 at 7:17
1  
@whuber. I added a paragraph pointing out that with linear regression, R2 can be negative only when the intercept (or perhaps the slope) is constrained. With no constraints, the R2 must be positive and equals the square of r, the correlation coefficient. –  Harvey Motulsky Jul 16 '11 at 15:55
1  
@HarveyMotulsky, in this case the intercept or slope were not constrained. It seems that you are saying that Rsquared can only be negative if these are constrained. Can you elaborate on what might have occurred in this particular case? –  Anne Jul 16 '11 at 21:56

Have you forgotten to include an intercept in your regression? I'm not familiar with SPSS code, but on page 21 of Hayashi's Econometrics:

If the regressors do not include a constant but (as some regression software packages do) you nevertheless calculate $R^2$ by the formula

$R^2=1-\frac{\sum_{i=1}^{n}e_i^2}{\sum_{i=1}^{n}(y_i-\bar{y})^2}$

then the $R^2$ can be negative. This is because, without the benefit of an intercept, the regression could do worse than the sample mean in terms of tracking the dependent variable (i.e., the numerator could be greater than the denominator).

I'd check and make sure that SPSS is including an intercept in your regression.

share|improve this answer
3  
NOORIGIN subcommand in her code tells that intercept was included in the model –  ttnphns Jul 12 '11 at 10:12

This can happen if you have a time series that is N.i.i.d. and you construct an inappropriate ARIMA model of the form(0,1,0) which is a first difference random walk model with no drift then the variance (sum of squares - SSE ) of the residuals will be larger than the variance (sum of squares SSO) of the original series. Thus the equation 1-SSE/SSO will yield a negative number as SSE execeedS SSO . We have seen this when users simply fit an assumed model or use inadequate procedures to identify/form an appropriate ARIMA structure. The larger message IS that a model can distort (much like a pair of bad glasses ) your vision. Without having access to your data I would otherwise have a problem in explaining your faulty results. Have you brought this to the attention of IBM ?

The idea of an assumed model being counter-productive has been echoed by Harvey Motulsky. Great post Harvey !

share|improve this answer
1  
stat. Thanks. No I have not spoken to IBM. The data is not time series. It is from point in time data. –  Anne Jul 11 '11 at 19:55
2  
@Anne and others: Since your data are not time series and you're not using a time series procedure please disregard my answer. Others who have observed negative R Squares when involved with time series might find my post interesting and tangentially informative. Others unfortunately may not. –  IrishStat Jul 11 '11 at 21:36

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.