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.

MoreLess

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

More details

Series:	Working Paper ; 100
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	670511404 [GVK] hdl:10419/52301 [Handle] RePEc:zbw:leiwps:100 [RePEc]
Classification:	C20 - Econometric Methods: Single Equation Models. General
Source:	EconStor

Persistent link: https://www.econbiz.de/10010307410