Does statsmodels compute R2 and other metrics on a validation-/test- set?

Question

Does statsmodels compute R2 and other metrics on a validation-/test- set?

Alexander Vocaet

2020年12月17日 19:41

Does statsmodels compute R2 and other metrics on a validation set?

I am using the OLS from the statsmodels.api when printing summary, an r2 and r2_asjusted are presented.

I did not trust those 0.88 and computed an own adjusted R2 with scikit-learn r2_score and the adjusted r2 function from this answer resulting in 0.88 as well. So the question arose.

Topic goodness-of-fit r-squared statsmodels scikit-learn

Category Data Science

Ben Reiniger · Accepted Answer · 2020年12月17日 19:41

1

Ben Reiniger answered at 2020年12月17日 19:41

No.

There's another question over on Stack Overflow concerning wrapping statsmodels models to use the sklearn conventions, so that you can use sklearn cross-validation, hyperparameter searches, etc.

Does statsmodels compute R2 and other metrics on a validation-/test- set?

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