# R-squared result in linear regression and "unexplained variance"

I did a linear regression in R and got the following result:

                        Estimate Std. Error t value Pr(>|t|)
(Intercept)        192116.40    6437.27  29.844  < 2e-16 ***
cdd                   272.74      26.94  10.123 1.56e-09 ***
pmax(hdd - 450, 0)     61.73      22.54   2.738   0.0123 *
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 16500 on 21 degrees of freedom
Multiple R-squared: 0.8454, Adjusted R-squared: 0.8307
F-statistic: 57.41 on 2 and 21 DF,  p-value: 3.072e-09


My question regards the R-squared value, 0.83 and what it means if I want to specify approximate percentage contributions of each (monthly) variable.

EDIT: See data, below. Say I take the first 12 hdd and cdd data points, and calculate the sum of the 12 predictions (i.e. the first year's total prediction), using the coefficients, above. The baseline (intercept) contribution to the year would be approximately 12 * 192116.40 = 2305397, right? Similarly, the cdd contribution to the year would be approximately 1608 * 272.74 = 438565.9, and hdd would be (after my hand-made hinge function) approximately 1329 * 61.73 = 82039.17. Summing the three values yields 2826002, which is within 1.3% of actual total usage (2862840, the sum of the first 12 elec's).

Can I then say that cdd contributes 438565.9/2826002= 0.1551895, or approximately 16% of the yearly total? Or do I need to take that and compensate for the adjusted R-squared: 0.1551895*0.8307= 0.1289159 (i.e. multiply by the adjusted R-squares), for approximately 13% of the total? Or is none of this correct reasoning?

My data is:

     elec  hdd cdd
1  235940  880   3
2  205380  772   4
3  211780  551   9
4  192220  281  68
5  221440  165 119
6  304840   15 364
7  283160    4 434
8  300440   11 339
9  272900   42 214
10 204220  322  44
11 201060  592   8
12 229460  784   2
13 214520 1064   0
14 197900  719   2
15 186660  618  15
16 195340  332  88
17 241200  109 159
18 260700   18 282
19 299940   29 367
20 293240    2 426
21 268740   51 159
22 208380  319  36
23 183820  452   7
24 231360  903   0


(The monthly billing cycle for elec can be anywhere from 29 to 32 days, so that injects a lot of variance right there. I do not yet have all of the billing cycle lengths to to a trading day kind of adjustment.)

• Could you explain where the 82/15/3 values come from? You appear to be using numbers that you haven't yet shared with us, such as "the monthly CDDs" (whatever those may be) and the "total predictions for the year" (whatever those may be).
– whuber
Jan 8, 2011 at 4:25

$R^2$ is the squared correlation of the OLS prediction $\hat{Y}$ and the DV $Y$. In a multiple regression with three predictors $X_{1}, X_{2}, X_{3}$:
# generate some data
> summary(fitX123)$r.squared # R^2 [1] 0.6361916 > Yhat <- fitted(fitX123) # OLS prediction Yhat > cor(Yhat, Y)^2 [1] 0.6361916 $R^2$is also equal to the variance of$\hat{Y}$divided by the variance of$Y$. In that sense, it is the "variance accounted for by the predictors". > var(Yhat) / var(Y) [1] 0.6361916  The squared semi-partial correlation of$Y$with a predictor$X_{1}$is equal to the increase in$R^2$when adding$X_{1}$as a predictor to the regression with all remaining predictors. This may be taken as the unique contribution of$X_{1}$to the proportion of variance explained by all predictors. Here, the semi-partial correlation is the correlation of$Y$with the residuals from regression where$X_{1}$is the predicted variable and$X_{2}$and$X_{3}$are the predictors. # residuals from regression with DV X1 and predictors X2, X3 > X1.X23 <- residuals(lm(X1 ~ X2 + X3)) > (spcorYX1.X23 <- cor(Y, X1.X23)) # semi-partial correlation of Y with X1 [1] 0.3172553 > spcorYX1.X23^2 # squared semi-partial correlation [1] 0.1006509 > fitX23 <- lm(Y ~ X2 + X3) # regression with DV Y and predictors X2, X3 # increase in R^2 when changing to full regression > summary(fitX123)$r.squared - summary(fitX23)$r.squared [1] 0.1006509  • OK, I have two predictors (hdd and cdd), and the squared semi-partial correlations for cdd ~ hdd is 0.755, and for hdd ~ cdd is 0.055, for a total of 0.810 versus the R-squared of 0.845. Jan 9, 2011 at 6:25 • (+1) A nice step-by-step illustration. – chl Jan 9, 2011 at 21:17 • One more question: this illustrates how each predictor contributes to the R-squared "variance accounted for". Is it legitimate to use the coefficients & intercept as I mentioned (in the edited version of) the original posting, to talk about each component's contribution to a yearly total? If so, how do you see the R-squared playing into this? Jan 9, 2011 at 23:17 • @Wayne You need to calculate the semi-partial correlation between your DV elec and each of your predictors. Taking the coefficients as a measure of "influence" doesn't seem like a good idea to me: a) the coefficients are scale dependend b) for a coefficient$b_{i}$, it is$\hat{Y}$that changes by$b_{i}$units when predictor$i$changes 1 unit, not$Y$itself. Before delving further into regression theory, I'd take the increase in$R^{2}$as a measure for the improvement in prediction wenn adding a predictor. Jan 10, 2011 at 9:25 • @Carcal: I think your point B is pretty important: the distinction between$\hat{Y}$versus$Y$. I'm wanting to compare$\sum_t{b_i} p_{it}$to$\sum_{t=1}^n{\sum_i{b_i p_{it}}} + n a$where the intercept is$a$and predictor$i$at time$t$is$p_{it}$. Not comparing coefficients, but rather how much that predictor contributed to the sum. Does that make sense? Jan 10, 2011 at 13:29 R^2 is the percent of variance in the DV accounted for by the whole model. That is, your intercept and your IVS combined account for that much of the variance, using the linear regression model. In your case, you got an R^2 of 0.85, indicating that intercept, plus cdd plus pmax combined account for 85% of the variance in the DV. The other 15% is error. That is, variance that is not accounted for by the model You cannot tell, from the information given, how much of this 85% is contributed by each. In order to do this, you would have to run more models: DV ~ . (intercept alone) DV ~ cdd DV ~ pmax Each of these would have an R^2, and you could then tell how much each adds. • Good answer. Regarding the last part (with respect to running the three models): The model with the intercept alone won't give you an$R^2$value. Also, the$R^2$values from the two models with just one predictor are probably not going to add up to the$R^2 = .85\$ value for the full model with both predictors. That will only happen when the two predictors are uncorrelated. In other words, the two predictors will probably account for overlapping parts of the variance in the dependent variable. Jan 8, 2011 at 13:03