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Härdle, Wolfgang
Huet, Sylvie
Mammen, Enno
Sperlich, Stefan
Year of Publication: 
Series/Report no.: 
SFB 373 Discussion Paper 1998,95
Models are studied where the response Y and covariates X, T are assumed to fulfill E(Y; T) = G{XT Ø + » + m1(T1) + … + md(Td)}. Here G is a known (link) function, Ø is an unknown parameter, and m1, …, md are unknown functions. In particular, we consider additive binary response models where the response Y is binary. In these models, given X and T, the response Y has a Bernoulli distribution with parameter G{XT Ø + » + m1(T1) + … + md(Td)}. The paper discusses estimation of Ø and m1, …, md. Procedures are proposed for testing linearity of the additive components m1, …, md. Furthermore, bootstrap uniform confidence intervals for the additive components are introduced. The practical performance of the proposed methods is discussed in simulations and in two economic applications.
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Working Paper

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