Decomposing R2 with the Owen value

Frank Hüttner and Marco Sunder

No 100, Working Papers from University of Leipzig, Faculty of Economics and Management Science

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.

Keywords: Shapley value; Owen value; OLS; variance decomposition; German Socio-Economic Panel (search for similar items in EconPapers)
JEL-codes: C20 (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-ecm and nep-gth
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/52301/1/670511404.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:leiwps:100

Access Statistics for this paper

More papers in Working Papers from University of Leipzig, Faculty of Economics and Management Science Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics (econstor@zbw-workspace.eu).