An econometric or statistical model may undergo a marginal gain if we admit a new variable to the model, and a marginal loss if we remove an existing variable from the model. Assuming equality of opportunity among all candidate variables, we derive a few evaluation methodologies by the expected marginal gain and marginal loss in all potential modeling scenarios. However, marginal gain and loss are not symmetric; thus, we introduce several unbiased solutions. Simulation studies show that our approaches significantly outperform a few variable selection methods used in practice. The results also explore several novel features of the Shapley value.
An econometric or statistical model may undergo a marginal gain if we admit a new variable to the model, and a marginal loss if we remove an existing variable from the model. Assuming equality of opportunity among all candidate variables, we derive a valuation framework by the expected marginal gain and marginal loss in all potential modeling scenarios. However, marginal gain and loss are not symmetric; thus, we introduce three unbiased solutions. When used in variable selection, our new approaches significantly outperform several popular methods used in practice. The results also explore some novel traits of the Shapley value.
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few evaluation methodologies
valuation framework
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several
three
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Simulation studies show that our
When used in variable selection, our new
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a few variable selection
several popular
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several novel features
some novel traits