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I have two sets of test scores I'm using to predict future performance, using multiple regression, and I noticed that the y-intercept is negative.

This indicates that for a student who scores a zero on both tests I predict that their score will be X negative number.

This isn't possible with regard to the tests being administered.

So I'm wondering now, is there a way to set a minimum limit for my y-intercept?

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    $\begingroup$ If your observed values are bounded and you might get fits (or predictions, if you're doing any) anywhere near a bound you should not fit a model whose fitted values are unbounded. Choose a model which gives plausible predictions. $\endgroup$
    – Glen_b
    Commented Jul 24, 2014 at 9:53
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    $\begingroup$ An impossible prediction can still be a good prediction! One way to think of it is to suppose there is a larger spectrum of "latent" scores extending beyond the 0..100% range. The two zeros scored by that student may overestimate their true performance. A negative predicted score can be interpreted in this framework--provided the model is fit appropriately. (It needs to treat scores of 0 and 100 as being censored.) Regardless, the first thing to check is goodness of fit of the regression: if it's not linear, you would want to consider some of the suggestions in the answers. $\endgroup$
    – whuber ♦
    Commented Feb 10, 2015 at 21:29

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You could consider generalized linear modeling with a different error distribution that can't go negative, like negative binomial regression for discrete values (are your scores all whole numbers?), gamma regression for continuous values, or beta regression for continuous values with both a minimum and maximum score.

It's still possible to have a negative intercept in negative binomial or beta regression, but one interprets the coefficients differently, so $\hat y\ge0$ if the predictor = 0. For a simulated example of NB regression in , library(MASS);set.seed(8);x=rnorm(99);y=rnbinom(99,1,.9);glm.nb(y~x)$coefficients[1] finds an intercept = -2.63, but predict(glm.nb(y~x),newdata=data.frame(x=0),type='response') predicts $\hat y(0)=.07$.
Beta regression: library(betareg);set.seed(8);y=rbeta(99,.1,1);x=rnorm(99);betareg(y~x) gives an intercept = -2.61, but predict(betareg(y~x),newdata=data.frame(x=0),type='response') shows $\hat y(0)=.07$ again.

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I have no idea why you would like that, but this should contain what you are looking for.

Are there a lot of fitted values $< 0$? If not then I do not think that you model is wrong (per se), it's just that the estimator (OLS?) can't fit the data (around 0) well. Most likely because there is not a lot of test scores at 0?

You could do exponential regression if indeed $Y$ is count variable; the tobit model is another way to go if you are looking for corner solution. But both of these models are harder (than OLS) to interpret - because they are non-linear - OLS is often the easy choice.

EDIT: Please note that when you force the intercept, there is no agreed upon way of calculating $R^2$ - and some might say that you cannot know what it's actually measure of.

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You could always setup a piece-wise function that forces a zero (or other min) once it hits this value or below. But it sounds like your two sets of scores are not enough to give you an accurate model.

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This means that a linear model isn't a good model for your data. You could transform it, for example, take log of the score. Or use another model that takes into account that the scores are all positive.

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