An overview of model-robust regression

Abstract

The proper combination of parametric and nonparametric regression procedures can improve upon the shortcomings of each when used individually. Considered is the situation where the researcher has an idea of which parametric model should explain the behavior of the data, but this model is not adequate throughout the entire range of the data. An extension of partial linear regression and two other methods of model-robust regression are developed and compared in this context. The model-robust procedures each involve the proportional mixing of a parametric fit to the data and a nonparametric fit to either the data or residuals. The emphasis of this work is on fitting in the small-sample situation, where nonparametric regression alone has well-known inadequacies. Performance is based on bias and variance considerations, and theoretical mean squared error formulas are developed for each procedure. An example is given that uses generated data from an underlying model with defined misspecification to provide graphical comparisons of the fits and to show the theoretical benefits of the model-robust procedures. Simulation results are presented which establish the accuracy of the theoretical formulas and illustrate the potential benefits of the model-robust procedures. Simulations are also used to illustrate the advantageous properties of a data-driven selector developed in this work for choosing the smoothing and mixing parameters. It is seen that the model-robust procedures (the final proposed method, in particular) give much improved fits over the individual parametric and nonparametric fits.

Keywords:

• Model misspecification
• mixing
• semiparametric
• partial linear