Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction

DOI10.1080/01621459.2021.2004895MaRDI QIDQ5885082

Marcelo C. Medeiros, Ricardo P. Masini, Jianqing Fan

Publication date: 27 March 2023

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.03996

zbMATH Keywords

counterfactual; factor models; optimal pricing; demand estimation; high-dimensional testing

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

Related Items

Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components, Bridging factor and sparse models, Confidence intervals of treatment effects in panel data models with interactive fixed effects

Uses Software

• ArCo

Cites Work

• Factor-Adjusted Regularized Model Selection
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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• The treatment-effect estimation: a case study of the 2008 economic stimulus package of China
• Home-purchase restriction, property tax and housing price in China: a counterfactual analysis
• Eigenvalue Ratio Test for the Number of Factors
• Statistical Foundations of Data Science
• Statistical Inference for Average Treatment Effects Estimated by Synthetic Control Methods
• Determining the Number of Factors in Approximate Factor Models
• Counterfactual Analysis With Artificial Controls: Inference, High Dimensions, and Nonstationarity
• An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls