A Theory of Attribution

Barry Feldman

MPRA Paper from University Library of Munich, Germany

Abstract: Attribution of economic joint effects is achieved with a random order model of their relative importance. Random order consistency and elementary axioms uniquely identify linear and proportional marginal attribution. These are the Shapley (1953) and proportional (Feldman (1999, 2002) and Ortmann (2000)) values of the dual of the implied cooperative game. Random order consistency does not use a reduced game. Restricted potentials facilitate identification of proportional value derivatives and coalition formation results. Attributions of econometric model performance, using data from Fair (1978), show stability across models. Proportional marginal attribution (PMA) is found to correctly identify factor relative importance and to have a role in model construction. A portfolio attribution example illuminates basic issues regarding utility attribution and demonstrates investment applications. PMA is also shown to mitigate concerns (e.g., Thomas (1977)) regarding strategic behavior induced by linear cost attribution.

Keywords: Coalition formation; consistency; cost allocation; joint effects; proportional value; random order model; relative importance; restricted potential; Shapley value and variance decomposition (search for similar items in EconPapers)
JEL-codes: C10 C71 D00 (search for similar items in EconPapers)
Date: 2007-03-14, Revised 2007-05-29
New Economics Papers: this item is included in nep-gth
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/3349/1/MPRA_paper_3349.pdf original version (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:pra:mprapa:3349

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().