命令:
net install rego, replace force all from(http://www.marco-sunder.de/stata/)
sysuse auto,clear
reg mpg weight length displ gear i.foreign
rego mpg weight length displ gear foreign, vce(robust) detail
输出:
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Gr Regressor | Coef. Std.Err. P>|t| Std.Coef. Shapley %R2
--------------------+---------------------------------------------------------
1 weight | -.0041683 * .0023647 0.082 -0.5599 31.7708
2 length | -.0907552 .0713204 0.208 -0.3493 29.7794
3 displacement | .0077379 .0085503 0.369 0.1228 18.8585
4 gear_ratio | 2.372516 1.715156 0.171 0.1871 13.5122
5 foreign | -2.446102 ** 1.158496 0.038 -0.1946 6.0792
- Intercept | 42.98684 8.709253 0.000
--------------------+---------------------------------------------------------
Observations | 74
Overall R2 | 0.68201
Root MSE | 3.380313
F-stat. Model | 29.57786 *** 0.000
Log Likelihood | -192.0025
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参考文献:
Huettner, Frank and Marco Sunder (2012). "Axiomatic arguments for decomposing goodness of fit according to Shapley and Owen values." Forthcoming in Electronic Journal of Statistics.
Osnat Israeli A Shapley-based decomposition of the R -Square of a linear regression., JOURNAL OF ECONOMIC INEQUALITY Volume 5, Number 2 (2007), 199-212, DOI: 10.1007/s10888-006-9036-6