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Analysis of deviance in generalized partial linear models

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  • Härdle, Wolfgang Karl
  • Huang, Li-shan

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.

Suggested Citation

  • Härdle, Wolfgang Karl & Huang, Li-shan, 2013. "Analysis of deviance in generalized partial linear models," SFB 649 Discussion Papers 2013-028, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2013-028
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    References listed on IDEAS

    as
    1. Shiyi Chen & W. K. Hardle & R. A. Moro, 2011. "Modeling default risk with support vector machines," Quantitative Finance, Taylor & Francis Journals, vol. 11(1), pages 135-154.
    2. Huang, Li-Shan & Davidson, Philip W., 2010. "Analysis of Variance and F-Tests for Partial Linear Models With Applications to Environmental Health Data," Journal of the American Statistical Association, American Statistical Association, vol. 105(491), pages 991-1004.
    3. Thomas A. Severini, 2007. "Integrated likelihood functions for non-Bayesian inference," Biometrika, Biometrika Trust, vol. 94(3), pages 529-542.
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    Cited by:

    1. Naoya Sueishi & Arihiro Yoshimura, 2017. "Focused Information Criterion for Series Estimation in Partially Linear Models," The Japanese Economic Review, Japanese Economic Association, vol. 68(3), pages 352-363, September.

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    More about this item

    Keywords

    ANOVA decomposition; integrated likelihood; link function; local polynomial AMS 2000 subject classifications: primary 62G08; secondary 62J12;
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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