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. --
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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)
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