Part of the research was conducted by the second author during his visit at the Department of Statistics and Applied Probability, National University of Singapore. He is thankful to the department for computational and other logistic support.


It has been a long history of utilizing interactions in regression analysis to investigate interactive effects of covariates on response variables. In this paper we aim to address two kinds of new challenges resulted from the inclusion of such high-order effects in the regression model for complex data. The first kind arises from a situation where interaction effects of individual covariates are weak but those of combined covariates are strong, and the other kind pertains to the presence of nonlinear interactive effects. Generalizing the single index coefficient regression model (Xia and Li, 1999), we propose a new class of semiparametric models with varying index coefficients, which enables us to model and assess nonlinear interaction effects between grouped covariates on the response variable. As a result, most of the existing semiparametric regression models are special cases of our proposed models. We develop a numerically stable and computationally fast estimation procedure utilizing both profile least squares method and local fitting. We establish both estimation consistency and asymptotic normality for the proposed estimators of index coefficients as well as the oracle property for the nonparametric function estimator. In addition, a generalized likelihood ratio test is provided to test for the existence of interaction effects or the existence of nonlinear interaction effects. Our models and estimation methods are illustrated by both simulation studies and an analysis of body fat dataset.



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