No label defined (Q4416902)

The common \(R^2\) measure provides a useful means to quantify the degree to which variation in the dependent variable can be explained by the covariates in a linear regression model. Recently, there have been various attempts to apply the definition of the \(R^2\) measure to generalized linear models. This paper studies two different \(R^2\) measure definitions for the gamma regression model. These measures are related to deviance and sum-of-squares residuals. Depending on the sample size and the number of covariates fitted, so-called unadjusted \(R^2\) measures may be substantially inflated, and the use of adjusted \(R^2\) measures is then preferred. We study several known adjustments previously proposed for \(R^2\) measures in regression models and illustrate the effect on the two unadjusted \(R^2\) measures for the gamma regression model. Comparing the resulting measures with underlying population values, we find the best adjustment via simulation.