In this paper, we compare Principal Component Analysis (PCA) and Partial Least Squares (PLS) methods to generate weights for composite indices. In this context we also consider various treatments of non-metric variables when constructing such composite indices. Using simulation studies we find...

We propose a Bayesian nonparametric instrumental variable approach under additive separability that allows us to correct for endogeneity bias in regression models where the covariate effects enter with unknown functional form. Bias correction relies on a simultaneous equations specification with...

This paper investigates the finite sample performance of a comprehensive set of semi- and nonparametric estimators for treatment and policy evaluation. In contrast to previous simulation studies which mostly considered semiparametric approaches relying on parametric propensity score estimation,...

This paper investigates the finite sample performance of a comprehensive set of semi- and nonparametric estimators for treatment and policy evaluation. In contrast to previous simulation studies which mostly considered semiparametric approaches relying on parametric propensity score estimation,...

We propose a Bayesian nonparametric instrumental variable approach that allows us to correct for endogeneity bias in regression models where the covariate effects enter with unknown functional form. Bias correction relies on a simultaneous equations specication with flexible modeling of the...

Sample selection models attempt to correct for non-randomly selected data in a two-model hierarchy where, on the first level, a binary selection equation determines whether a particular observation will be available for the second level, i.e. in the outcome equation. Ignoring the non-random...

This paper reviews various treatments of non-metric variables in Partial Least Squares (PLS) and Principal Component Analysis (PCA) algorithms. The performance of different treatments is compared in the extensive simulation study under several typical data generating processes and...

The paper discusses asymptotic properties of penalized spline smoothing if the spline basis increases with the sample size. The proof is provided in a generalized smoothing model allowing for non-normal responses. The results are extended in two ways. First, assuming the spline coefficients to...