Arbeitspapier
Analysis of deviance in generalized partial linear models
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.
- Language
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Englisch
- Bibliographic citation
-
Series: SFB 649 Discussion Paper ; No. 2013-028
- Classification
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Wirtschaft
Mathematical and Quantitative Methods: General
Semiparametric and Nonparametric Methods: General
Econometric Modeling: General
Financial Econometrics
- Subject
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ANOVA decomposition
integrated likelihood
link function
local polynomial AMS 2000 subject classifications: primary 62G08
secondary 62J12
- Event
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Geistige Schöpfung
- (who)
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Härdle, Wolfgang Karl
Huang, Li-shan
- Event
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Veröffentlichung
- (who)
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Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
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Berlin
- (when)
-
2013
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Härdle, Wolfgang Karl
- Huang, Li-shan
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2013
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