Regression with fractional polynomials when interactions are erroneously omitted

We propose a new summary tool, so-called average predictive comparison (APC), which summarizes the effect of a particular predictor in a context of regression. Different from the definition in our earlier work (Liu and Gustafson, 2008), the new definition allows a pointwise evaluation of a predictorʹs effect for any given value of this predictor. We employ this summary tool to examine the consequence of erroneously omitting interactions in regression models. To be able to involve curved relationships between a response variable and predictors, we consider fractional polynomial regression models (Royston and Altman, 1994). We derive the asymptotic properties of the APC estimates under a general setting with p ( ≥ 2 ) predictors involved. In particular, when there are only two predictors of interest, we find out that the APC estimator is robust to the model misspecification under some certain conditions. We illustrate the application of the proposed summary tool via a real data example. We also conduct simulation experiments to further check the performance of the APC estimates.