Profile likelihood ratio tests for parameter inferences in generalized single-index models

Abstract: A profile likelihood ratio test is proposed for inferences on the index coefficients in generalized single-index models. Key features include its simplicity in implementation, invariance against parametrization, and exhibiting substantially less bias than standard Wald-tests in finite-sample settings. Moreover, the R routine to carry out the profile likelihood ratio test is demonstrated to be over two orders of magnitude faster than the recently proposed generalized likelihood ratio test based on kernel regression. The advantages of the method are demonstrated on various simulations and a data analysis example.