Solved – R squared change multiple linear regression

multiple regressionrr-squared

I calculate multiple linear regression in R with

lm(var ~ VAR1+VAR2+VAR3+VAR4)

Do you know how to calculate R-squared change for each variable VAR1, VAR2, VAR3 ?
Thank you

Best Answer

The OP essentially wants to calculate the $R^2$ differences for individual variables. So the models would be:

m0 = lm(var ~ VAR1 + VAR2 + VAR3)
m1 = lm(var ~ VAR2 + VAR3)
m2 = lm(var ~ VAR1 + VAR3)
m3 = lm(var ~ VAR1 + VAR2)

And then you can do

pr2m1 = summary(m0)$r.squared-summary(m1)$r.squared
pr2m2 = summary(m0)$r.squared-summary(m2)$r.squared
pr2m3 = summary(m0)$r.squared-summary(m3)$r.squared

But this probably doesn't do what you think it does (explain exactly how much the individual variables explain via the $R^2$ difference) - at least if there is any multicollinearity (which there usually is).

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