Relationship between F (Fisher) and R^2 Could you give me the demonstration with all algebraic steps of the relationship $$F=(R^2/(p-1))/((1-R^2)/(n-p))?$$
 A: I will consider the F-test for testing a restriction of type
\begin{equation}\label{multrestriction}
H_0:\beta_2=0
\end{equation}
in
\begin{equation}\label{FTestregfull}
y=X_1\beta_1+X_2\beta_2+u
\end{equation}
Further, I will depart from the expression for $F$-statistic given by (which itself could be derived from other ways of expressing the F-statistic, see e.g. Proof that F-statistic follows F-distribution)
\begin{equation}\label{FUSSRRSSR}
F_{\beta_2}=\frac{(\text{RSSR}-\text{USSR})/r}{\text{USSR}/(n-p)}
\end{equation}
with

*

*$r$ the dimension of $X_2$,

*$p$ the total number of regressors

*$\text{USSR}=y'M_{X}y$ the unrestricted sum of squared residuals of the
unrestricted regression on both $X_1$ and $X_2$,

*$\text{RSSR}=y'M_{X_1}y$ the restricted sum of squared residuals of a regression of $y$ on $X_1$, i.e. with $H_0$
imposed.

If $X_1=\iota$, i.e., if we test if all slope coefficients are zero and the only included regressor under the null is a constant, we have $r=p-1$ and
\begin{equation}\label{R2RSSR}
\text{RSSR}=y'M_{\iota}y
\end{equation}
We may then, using this relationship, express $R^2$ as
$$
R^2=1-\frac{\text{USSR}}{\text{RSSR}}
$$
or
$$
\text{USSR}=(1-R^2)\text{RSSR}
$$
Hence,
$$
\frac{\text{RSSR}-\text{USSR}}{\text{USSR}}=\frac{R^2}{1-R^2}
$$
Little numerical illustration (also relating to my comment below the OP's question:
library(lmtest)

n <- 50

y <- rnorm(n)
X1 <- rnorm(n)
X2 <- rnorm(n)
reg <- lm(y~X1+X2)

Rsq <- summary(reg)$r.squared

USSR <- sum(resid(reg)^2)
RSSR <- sum((y-mean(y))^2)

> # all the same
> (Fstat <- waldtest(reg, test="F")$F[2])
[1] 2.169655

> (Fstat.R2 <- Rsq/(1-Rsq)*(n-3)/2)
[1] 2.169655

> (F.stat.SSR <- (RSSR-USSR)/USSR*(n-3)/2)
[1] 2.169655

> # not all the same:
> regX1 <- lm(y~X1)

> (Fstat <- waldtest(reg, regX1, test="F")$F[2])
[1] 0.4613734

> RSSR <- sum(resid(regX1)^2)

> (Fstat.R2 <- Rsq/(1-Rsq)*(n-3)/1)
[1] 4.33931

> (F.stat.SSR <- (RSSR-USSR)/USSR*(n-3)/1)
[1] 0.4613734

