Analysis of Deviance for Hypothesis Testing in Generalized Partially Linear Models

Wolfgang Härdle and Li-Shan Huang

Journal of Business & Economic Statistics, 2019, vol. 37, issue 2, 322-333

Abstract: In this study, we develop nonparametric analysis of deviance tools for generalized partially 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 analysis of variance 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 and to compare them with an existing procedure based on penalized splines. The methodology is applied to German Bundesbank Federal Reserve data.

Date: 2019
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DOI: 10.1080/07350015.2017.1330693

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