Why is a zero-intercept linear regression model predicts better than a model with an intercept?

Many textbooks and papers said that intercept should not be suppressed. Recently, I used a training dataset to build a linear regression model with or without an intercept. I was surprised to find that the model without an intercept predicts better than that with an intercept in terms of rmse in an independent validation dataset. Is the prediction accuracy one of the reasons that I should use zero-intercept models?

Answer

Look carefully at how the rmse or other statistic is computed when comparing no-intercept models to intercept models. Sometimes the assumptions and calculations are different between the 2 models and one may fit worse, but look better because it is being divided by something much larger.

Without a reproducible example it is difficult to tell what may be contributing.

Attribution
Source : Link , Question Author : KuJ , Answer Author : Greg Snow

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