Decomposing R2 with the Owen value
AbstractWe provide an axiomatization-based justification for applying the Owen value to decompose R2 in OLS models if prior knowledge can be used to form groups of regressor variables. The assumptions made by the axioms are not only plausible with respect to the variables but also clarify the meaning of the exogenous grouping of variables. --
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University of Leipzig, Faculty of Economics and Management Science in its series Working Papers with number 100.
Date of creation: 2011
Date of revision:
Shapley value; Owen value; OLS; variance decomposition; German Socio-Economic Panel;
Find related papers by JEL classification:
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-13 (All new papers)
- NEP-ECM-2011-12-13 (Econometrics)
- NEP-GTH-2011-12-13 (Game Theory)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gert G. Wagner & Joachim R. Frick & Jürgen Schupp, 2007.
"The German Socio-Economic Panel Study (SOEP): Scope, Evolution and Enhancements,"
SOEPpapers on Multidisciplinary Panel Data Research
1, DIW Berlin, The German Socio-Economic Panel (SOEP).
- Gert G. Wagner & Joachim R. Frick & Jürgen Schupp, 2007. "The German Socio-Economic Panel Study (SOEP) – Scope, Evolution and Enhancements," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, vol. 127(1), pages 139-169.
- Winter, Eyal, 1989. "A Value for Cooperative Games with Levels Structure of Cooperation," International Journal of Game Theory, Springer, vol. 18(2), pages 227-40.
- Osnat Israeli, 2007. "A Shapley-based decomposition of the R-Square of a linear regression," Journal of Economic Inequality, Springer, vol. 5(2), pages 199-212, August.
- Hart, Sergiu & Mas-Colell, Andreu, 1989. "Potential, Value, and Consistency," Econometrica, Econometric Society, vol. 57(3), pages 589-614, May.
- Anger, Silke & Heineck, Guido, 2010.
"Cognitive Abilities and Earnings – First Evidence for Germany,"
EconStor Open Access Articles,
ZBW - German National Library of Economics.
- Silke Anger & Guido Heineck, 2010. "Cognitive abilities and earnings - first evidence for Germany," Applied Economics Letters, Taylor & Francis Journals, vol. 17(7), pages 699-702.
- Ulrike Groemping, . "Relative Importance for Linear Regression in R: The Package relaimpo," Journal of Statistical Software, American Statistical Association, vol. 17(i01).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).
If references are entirely missing, you can add them using this form.