Analysis of Deviance for Hypothesis Testing in Generalized Partially Linear Models

A-Tier
Journal: Journal of Business & Economic Statistics
Year: 2019
Volume: 37
Issue: 2
Pages: 322-333

Authors (2)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:taf:jnlbes:v:37:y:2019:i:2:p:322-333
Journal Field
Econometrics
Author Count
2
Added to Database
2026-02-02