Request for measures of predictor importance in regression
I am conducting regression analysis in which there are high correlations among the predictors. I would like to employ the following measures of relative predictor importance: Kruskal's Relative Importance Algorithm; Shapley Value Regression; Penalty and Reward Analysis. Are these techniques available in SPSS?
Resolving the problem
The importance measures that you listed - Kruskal's relative importance, Shapley Value Regression, and Penalty & Reward - are not available in SPSS. A request has been filed with SPSS Development that they be added to a future release of SPSS.
There is an extension command, STATS_RELIMP, available from developerWorks (https://www.ibm.com/developerworks/mydeveloperworks/files/app?lang=en#/person/270002VCWN/file/447acd1f-35ac-43cd-b6d0-39a9f1381a9f) that provides a dialog box interface to the R relaimpo package, which includes several measures of relative importance, including Shapley values, but not Kruskal's measure or Penalty & Reward analysis.
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