[R] R.squared in summary.lm with weights

Murray Efford murray.efford at otago.ac.nz
Thu Apr 7 23:21:53 CEST 2016

Following some old advice on this list, I have been reading the code for summary.lm to understand the computation of R-squared from a weighted regression. Usually weights in lm are applied to squared residuals, but I see that the weighted mean of the observations is calculated as if the weights are on the original scale:

    f <- z$fitted.values
    w <- z$weights
            m <- sum(w * f/sum(w))
            [mss <-]  sum(w * (f - m)^2)

This seems inconsistent to me. What am I missing?

Murray Efford

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