A Shapley-based decomposition of the R-Square of a linear regression
This note suggests a new way of determining the exact contributions of the explanatory variables to the R-Square of a linear regression. The proposed methodology combines the so-called Shapley approach (Chantreuil and Trannoy, Inequality decomposition values: the trade-off between marginality and consistency. THEMA Discussion Paper, Université de Cergy-Pontoise, France 1999; Shorrocks, Decomposition Procedures for Distributional Analysis: A Unified Framework Based on the Shapley Value (mimeo), University of Essex, 1999) with the Fields (Res. Labor Econ., 22:1–38, 2003) decomposition. Copyright Springer Science+Business Media, Inc. 2007
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Volume (Year): 5 (2007)
Issue (Month): 2 (August)
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- Chantreuil, F. & Trannoy, A., 1999.
"Inequality Decomposition Values: the Trade-Off Between Marginality and Consistency,"
99-24, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
- F. Chantreuil & A. Trannoy, 1999. "Inequality decomposition values : the trade-off between marginality and consistency," THEMA Working Papers 99-24, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
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- Graham Pyatt & Chau-nan Chen & John Fei, 1980. "The Distribution of Income by Factor Components," The Quarterly Journal of Economics, Oxford University Press, vol. 95(3), pages 451-473.
- Shorrocks, A F, 1982. "Inequality Decomposition by Factor Components," Econometrica, Econometric Society, vol. 50(1), pages 193-211, January. Full references (including those not matched with items on IDEAS)