Here is my code to compute shapley value using Proc Reg selection=Rsquare and Proc IML procedure as suggested by Rick Wicklin %let dsn=;  /*data set name*/ %let indepvar=  ; /*list of independent variables separated with space*/ %let depvar=; /*dependent variable*/ %macro Shapley_value_regression; /*Count No of Independent Cariable*/ %local nvar list; %let nvar=1; %let list=%qscan(&indepvar,&nvar,%str( )); %do %while(&list ne); %let nvar=%eval(&nvar+1); %let list=%qscan(&indepvar,&nvar,%str( )); %end; %let nvar=%eval(&nvar-1); data _temp_;   set &dsn;   keep &indepvar &depvar; run; /*Rename Variables*/ data _temp_; set  _temp_;   rename   %do i=1 %to &nvar;   %let var&i=%sysfunc(scan(&indepvar,&i,' '));   &&var&i =x&i %end ; ; run; /*Reg with selection=rsquare*/ proc reg data=_temp_;   ods select SubsetSelSummary;   ods output SubsetSelSummary=RsquareValues;   model &depvar=x1-x&nvar. /selection=rsquare; run; data RsquareValues; set RsquareValues;   drop Dependent Model control Modelindex;   data Null_Model;   NumInModel =0;   Rsquare=0;   VarsInModel='x0'; proc append base=RsquareValues data=null_model; proc sort data=RsquareValues;   by NumInModel VarsInModel; run; /*Shapley Value computation*/ %do i=1 %to &nvar;   data R2_with_&i.( rename=(RSquare=Rsquare_with VarsInModel=x_with))   R2_without_&i. (drop =NumInModel rename=(RSquare=Rsquare_without VarsInModel=x_without));   set RsquareValues;   if find(VarsInModel,"x&i") gt 0 then output R2_with_&i.;   else output R2_without_&i.;   run;   data R2_delta_&i.;   set  R2_with_&i.;   set  R2_without_&i. ;   run;   data R2_delta_&i. (keep=x&i. NumInModel );   set  R2_delta_&i.;   x&i.=Rsquare_with-Rsquare_without;   run; %end; data R2_delta; merge %do i=1 %to &nvar; R2_delta_&i. %end; ;   rename   %do i=1 %to &nvar;   %let var&i=%sysfunc(scan(&indepvar,&i,' '));   x&i=&&var&i  %end ; ; run; proc iml;   use R2_delta;   read all var {&indepvar} into delta;   read all var {NumInModel} into NIM;   p=ncol(delta);   q=nrow(delta);   sv=j(q,p,0);    do j=1 to p;       do i=1 to q;    do m=1 to NIM[i,];     gamma=0;     w=fact(NIM[i,]-1)#(fact(p-(NIM[i,]-1)-1));     w=w/fact(p);     gamma=gamma+w;     sv[i,j]=gamma#delta[i,j];     end;        end;    end;   sv=SV[+,]`;   RSquare=sv[+,];   Rname={&indepvar};   Cname={SV  Var };   print SV [rowname=Rname colname=Cname] ;   print RSquare ;   create shapley_value var {Rname sv };   append;   close shapley_value; quit; %MEND Shapley_value_regression; %Shapley_value_regression; proc print data=shapley_value;run; for details check this: http://predictive-analytics-world.blogspot.in/2013/06/shapley-value-regression-sas-macro.html ... View more