Analysis of deviance in generalized partial linear models

Wolfgang Härdle and Li-shan Huang

No 2013-028, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: We develop analysis of deviance tools for generalized partial linear models based on local polynomial fitting. Assuming a canonical link, we propose expressions for both local and global analysis of deviance, which admit an additivity property that reduces to ANOVA decompositions in the Gaussian case. Chi-square tests based on integrated likelihood functions are proposed to formally test whether the nonparametric term is significant. Simulation results are shown to illustrate the proposed chi-square tests. The methodology is applied to German Bundesbank Federal Reserve data.

Keywords: ANOVA decomposition; integrated likelihood; link function; local polynomial AMS 2000 subject classifications: primary 62G08; secondary 62J12 (search for similar items in EconPapers)
JEL-codes: C00 C14 C50 C58 (search for similar items in EconPapers)
Date: 2013
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