We advocate the decomposition of goodness of fit into contributions of (groups of) regressor variables according to the Shapley value or—if regressors are exogenously grouped—the Owen value because of the attractive axioms associated with these values. A wage regression model with German data illustrates the method.
"Axiomatic arguments for decomposing goodness of fit according to Shapley and Owen values." Electron. J. Statist. 6 1239 - 1250, 2012. https://doi.org/10.1214/12-EJS710