Analysis of regression in game theory approach

Abstract Working with multiple regression analysis a researcher usually wants to know a comparative importance of predictors in the model. However, the analysis can be made difficult because of multicollinearity among regressors, which produces biased coefficients and negative inputs to multiple determination from presum ably useful regressors. To solve this problem we apply a tool from the co‐operative games theory, the Shapley Value imputation. We demonstrate the theoretical and practical advantages of the Shapley Value and show that it provides consistent results in the presence of multicollinearity. Copyright © 2001 John Wiley & Sons, Ltd.