This paper illustrates that the generalized propensity score method can easily be applied with multiple continuous endogenous treatment variables. Consistency proofs carry over straightforwardly to this general case, and the approach is shown to work well in finite samples with various...

We propose a nonparametric method to study which characteristics provide incremental information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

Nationwide health interventions are difficult to evaluate as contemporaneous control groups do not exist and before-after approaches are usually infeasible. We propose an alternative semi-parametric estimator that is based on the assumption that the intervention has no direct effect on the...

We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

This paper develops a specification of the credit scoring model with high discriminatory power to analyze data on loans at the retail banking market. Parametric and non- parametric approaches are employed to produce three models using logistic regression (parametric) and one model using...

Multinational labor demand responds to wage differentials at the extensive margin, when a multinational enterprise (MNE) expands into foreign locations, and at the intensive margin, when an MNE operates existing affiliates across locations. We derive conditions for parametric and nonparametric...

Empirically analyzing household behavior usually relies on informal data preprocessing. That is, before an econometric model is estimated, observations are selected in such a way that the resulting subset of data can be assumed to be sufficiently homogeneous with respect to the specific research...