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Title:Decomposing R2 with the Owen value PDF Logo
Authors:Hüttner, Frank
Sunder, Marco
Issue Date:2011
Series/Report no.:Working Paper // Universität Leipzig 100
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.
Subjects:Shapley value
Owen value
OLS
variance decomposition
German Socio-Economic Panel
JEL:C20
Document Type:Working Paper
Appears in Collections:Working Papers, Universität Leipzig

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