component analysis (SPCA), coupled with a variety of other factor estimation as well as data shrinkage methods, including … nonlinear methods, and that using a combination of factor and other shrinkage methods often yields superior predictions. For … forms of shrinkage. For example, SPCA yields MSFE-best prediction models in many cases, particularly when coupled with …

A simple shrinkage method is proposed to improve the performance of weighting estimators of the average treatment …, three different variants of a shrinkage method for the propensity scores are analyzed. The results of a comprehensive Monte …