Generalized Coefficient of Determination |
Cox and Snell (1989, pp. 208–209) propose the following generalization of the coefficient of determination to a more general linear model:
where is the likelihood of the intercept-only model, is the likelihood of the specified model, is the sample size, is the frequency of the th observation, and is the number of trials when events/trials syntax is specified or with single-trial syntax.
The quantity achieves a maximum of less than one for discrete models, where the maximum is given by
Nagelkerke (1991) proposes the following adjusted coefficient, which can achieve a maximum value of one:
Specifying the NORMALIZE option in the WEIGHT statement makes these coefficients invariant to the scale of the weights.
Like the AIC and SC statistics described in the section Model Fitting Information, and are most useful for comparing competing models that are not necessarily nested—larger values indicate better models. More properties and interpretation of and are provided in Nagelkerke (1991). In the "Testing Global Null Hypothesis: BETA=0" table, is labeled as "RSquare" and is labeled as "Max-rescaled RSquare." Use the RSQUARE option to request and .