Why is Sklearn R-squared different from that of statsmodels when fit_intercept=False?

I am performing linear regression using Sklearn and statsmodels.

I know that Sklearn and statsmodels produce the same result. As shown below, Sklearn and statsmodels made the same result, but the results were different even though the coefficients were the same when the intercept is zero using fit_intercept=False in Sklearn.

Can you explain the reason? Or give me any method when I use fit_intercept=False in Sklearn.

import numpy as np
import statsmodels.api as sm
from sklearn.linear_model import LinearRegression

# dummy data:
y = np.array([1,3,4,5,2,3,4])
X = np.array(range(1,8)).reshape(-1,1) # reshape to column

# intercept is not zero : the result are the same
# scikit-learn:
lr = LinearRegression()
lr.fit(X,y)
print(lr.score(X,y))
# 0.16118421052631582

# statsmodels
X_ = sm.add_constant(X)
model = sm.OLS(y,X_)
results = model.fit()
print(results.rsquared)
# 0.16118421052631582

# intercept is zero : the result are different
# scikit-learn:
lr = LinearRegression(fit_intercept=False)
lr.fit(X,y)
print(lr.score(X,y))
# -0.4309210526315792

# statsmodels
model = sm.OLS(y,X)
results = model.fit()
print(results.rsquared)
# 0.8058035714285714

The inconsistency is due to the fact that statsmodels uses different formulas to calculate the R-squared depending on whether the model includes an intercept or not. If the intercept is included, statsmodels divides the sum of squared residuals by the centered total sum of squares, while if the intercept is not included, statsmodels divides the sum of squared residuals by the uncentered total sum of squares. This means that statsmodels uses the following formula to calculate the R-squared, which can be found in the documentation:

import numpy as np

def rsquared(y_true, y_pred, fit_intercept=True):
    '''
    Statsmodels R-squared, see https://www.statsmodels.org/dev/generated/statsmodels.regression.linear_model.RegressionResults.rsquared.html.
    '''
    if fit_intercept:
        return 1 - np.sum((y_true - y_pred) ** 2) / np.sum((y_true - np.mean(y_true)) ** 2)
    else:
        return 1 - np.sum((y_true - y_pred) ** 2) / np.sum(y_true ** 2)

On the other hand, sklearn always uses the centered total sum of squares at the denominator, regardless of whether the intercept is actually included in the model or not (i.e. regardless of whether fit_intercept=True or fit_intercept=False). See also this answer.

import numpy as np
import statsmodels.api as sm
from sklearn.linear_model import LinearRegression

def rsquared(y_true, y_pred, fit_intercept=True):
    '''
    Statsmodels R-squared, see https://www.statsmodels.org/dev/generated/statsmodels.regression.linear_model.RegressionResults.rsquared.html.
    '''
    if fit_intercept:
        return 1 - np.sum((y_true - y_pred) ** 2) / np.sum((y_true - np.mean(y_true)) ** 2)
    else:
        return 1 - np.sum((y_true - y_pred) ** 2) / np.sum(y_true ** 2)

# dummy data:
y = np.array([1, 3, 4, 5, 2, 3, 4])
X = np.array(range(1, 8)).reshape(-1, 1) # reshape to column

# intercept is not zero: the result are the same
# scikit-learn:
lr = LinearRegression(fit_intercept=True)
lr.fit(X, y)
print(lr.score(X, y))
# 0.16118421052631582
print(rsquared(y, lr.predict(X), fit_intercept=True))
# 0.16118421052631582

# statsmodels
X_ = sm.add_constant(X)
model = sm.OLS(y, X_)
results = model.fit()
print(results.rsquared)
# 0.16118421052631582
print(rsquared(y, results.fittedvalues, fit_intercept=True))
# 0.16118421052631593

# intercept is zero: the result are different
# scikit-learn:
lr = LinearRegression(fit_intercept=False)
lr.fit(X, y)
print(lr.score(X, y))
# -0.4309210526315792
print(rsquared(y, lr.predict(X), fit_intercept=True))
# -0.4309210526315792
print(rsquared(y, lr.predict(X), fit_intercept=False))
# 0.8058035714285714

# statsmodels
model = sm.OLS(y, X)
results = model.fit()
print(results.rsquared)
# 0.8058035714285714
print(rsquared(y, results.fittedvalues, fit_intercept=False))
# 0.8058035714285714

Recommended topics

Hot tags