Semiparametric Regression Models with Applications to Scoring: A Review

Semiparametric regression models have been proposed in the econometric literature as a trade-off between the simple but easily implementable and interpretable parametric models and the flexible but structure free smoothing techniques. Some semiparametric models for binary response with possible application to scoring data are reviewed: single-index models, generalized partially linear models, generalized partially linear single-index models, and multiple-index models. All these models are extensions of the classical logistic regression.