Decomposing R2 with the Owen value

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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Year of publication:	2011
Authors:	Hüttner, Frank ; Sunder, Marco
Institutions:	Wirtschaftswissenschafltiche Fakultät, Universität Leipzig
Subject:	Shapley value \| Owen value \| OLS \| variance decomposition \| German Socio-Economic Panel

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Extent:	application/pdf
Series:	Working Papers. - ISSN 1437-9384.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 100
Classification:	C20 - Econometric Methods: Single Equation Models. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009372211