Hu, Xingwei (2017): A Theory of Dichotomous Valuation with Applications to Variable Selection.

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Abstract
An econometric or statistical model may undergo a marginal gain when a new variable is admitted, and marginal loss if an existing variable is removed. The value of a variable to the model is quantified by its expected marginal gain and marginal loss. Under a prior belief that all candidate variables should be treated fairly, we derive a few formulas which evaluate the overall performance of each variable. One formula is identical to that for the Shapley value. However, it is not symmetric with respect to marginal gain and marginal loss; moreover, the Shapley value favors the latter. Thus we propose a unbiased solution. Two empirical studies are included: the first being a multicriteria model selection for a dynamic panel regression; the second being an analysis of effect on hourly wage given by additional years of schooling.
Item Type:  MPRA Paper 

Original Title:  A Theory of Dichotomous Valuation with Applications to Variable Selection 
English Title:  A Theory of Dichotomous Valuation with Applications to Variable Selection 
Language:  English 
Keywords:  unbiased multivariate Shapley value; variable selection; marginal effect; endowment bias; model uncertainty 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C11  Bayesian Analysis: General C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C52  Model Evaluation, Validation, and Selection C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C57  Econometrics of Games and Auctions C  Mathematical and Quantitative Methods > C7  Game Theory and Bargaining Theory > C71  Cooperative Games D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D81  Criteria for DecisionMaking under Risk and Uncertainty 
Item ID:  80457 
Depositing User:  Xingwei Hu 
Date Deposited:  02 Aug 2017 09:34 
Last Modified:  02 Aug 2017 09:36 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/80457 