If you produce smoothing component plots in PROC GAM and use the SPLINE or LOESS smoother in the model, then the partial prediction curve shows the nonlinear effect of the predictor. When the ODS GRAPHICS ON statement is in effect, smoothing component plots are produced by default. These plots are also produced when the PLOTS=COMPONENTS option is specified in the PROC GAM statement.

The confidence bands in these plots incorrectly include a portion of the linear effect of the predictor. The standard deviation and confidence limit variables produced by the OUTPUT statement are also contaminated by this linear portion. The width of the bands includes variance due to this linear part of the predictor's effect and the covariance between the linear and nonlinear parts.

For spline-smoothed predictors, note that the test for the effect in the Analysis of Deviance table tests only the nonlinear part of the predictor. The linear part is tested separately in the Parameter Estimates table. Consequently, the plot may not be visually consistent with the test in the Analysis of Deviance table. For example, if the test of the nonlinear effect of a spline-smoothed predictor is significant, the confidence bands in the component plot may completely contain the zero line suggesting no nonlinear effect.

Since various approximations are used both in the test construction and the construction of the confidence bands, the possibility of inconsistent conclusions between the test and the component plot for a predictor remains even with the fix to this problem which removes the incorrectly-included linear portion of the predictor's effect.

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