Comparative Analysis of Regression Output Summary Statistics in Common Statistical Packages

An important question in applied statistics is whether statistical regression programs output distorted summary statistics (F and R 2) for a no-intercept regression model. Uyar and Erdem recently confirmed this problem using one of the premier statistical packages. This article extends the Uyar-Erdem experiment to eight common statistical and econometric regression packages. Only four of them warn users that the R 2 has been redefined for a model without an explicit intercept. Consequently, the problem Uyar and Erdem identified extends in varying degrees, ranging from mild to severe, to many other regression packages.