ArCo: an artificial counterfactual approach for high-dimensional panel time-series data

DOI10.1016/j.jeconom.2018.07.005zbMath1452.62891MaRDI QIDQ1739593

Xianqiang Yang

Publication date: 26 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10438/18334

zbMATH Keywords

factor models; structural break; Lasso; policy evaluation; comparative studies; counterfactual analysis; multivariate treatment effects; synthetic control

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J07: Ridge regression; shrinkage estimators (Lasso)

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