Why I’m Not a Fan of R-Squared

1 · John Myles White · July 24, 2016, 3:29 a.m.
The Big Message People sometimes use \(R^2\) as their preferred measure of model fit. Unlike quantities such as MSE or MAD, \(R^2\) is not a function only of model’s errors, its definition contains an implicit model comparison between the model being analyzed and the constant model that uses only the observed mean to make predictions. […]...