A Shapley-based decomposition of the R-Square of a linear regression

Osnat Israeli ()

The Journal of Economic Inequality, 2007, vol. 5, issue 2, 199-212

Abstract: 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

Keywords: inequality decomposition; R-Square; Shapley value; C20; D63 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (69)

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DOI: 10.1007/s10888-006-9036-6

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