Shapley regression is a useful tool for understanding relative importance of predictors. The output of Shapley regression – Shapley values – are not regression coefficients and cannot be used in prediction. It is possible though to derive coefficients by optimizing on the Shapley values. I compare these coefficients to those derived from ordinary regression models and find that both methods lead to similar predictions. New R code will be made available for calculating Shapley values and coefficients.
