Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79569
Authors: 
Härdle, Wolfgang Karl
Huang, Li-shan
Year of Publication: 
2013
Series/Report no.: 
SFB 649 Discussion Paper 2013-028
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.
Subjects: 
ANOVA decomposition
integrated likelihood
link function
local polynomial AMS 2000 subject classifications: primary 62G08
secondary 62J12
JEL: 
C00
C14
C50
C58
Document Type: 
Working Paper

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