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Decomposing R2 with the Owen value

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  • Hüttner, Frank
  • Sunder, Marco
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    Abstract

    We 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. --

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    File URL: http://econstor.eu/bitstream/10419/52301/1/670511404.pdf
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    Bibliographic Info

    Paper provided by University of Leipzig, Faculty of Economics and Management Science in its series Working Papers with number 100.

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    Date of creation: 2011
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    Handle: RePEc:zbw:leiwps:100

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    Related research

    Keywords: Shapley value; Owen value; OLS; variance decomposition; German Socio-Economic Panel;

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    1. Winter, Eyal, 1989. "A Value for Cooperative Games with Levels Structure of Cooperation," International Journal of Game Theory, Springer, Springer, vol. 18(2), pages 227-40.
    2. Anger, Silke & Heineck, Guido, 2010. "Cognitive Abilities and Earnings – First Evidence for Germany," EconStor Open Access Articles, ZBW - German National Library of Economics, pages 699-702.
    3. Anna Khmelnitskaya & Elena Yanovskaya, 2007. "Owen coalitional value without additivity axiom," Computational Statistics, Springer, Springer, vol. 66(2), pages 255-261, October.
    4. Hart, Sergiu & Mas-Colell, Andreu, 1989. "Potential, Value, and Consistency," Econometrica, Econometric Society, Econometric Society, vol. 57(3), pages 589-614, May.
    5. 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, Duncker & Humblot, Berlin, vol. 127(1), pages 139-169.
    6. Ulrike Groemping, . "Relative Importance for Linear Regression in R: The Package relaimpo," Journal of Statistical Software, American Statistical Association, American Statistical Association, vol. 17(i01).
    7. Osnat Israeli, 2007. "A Shapley-based decomposition of the R-Square of a linear regression," Journal of Economic Inequality, Springer, Springer, vol. 5(2), pages 199-212, August.
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