Prediction Intervals for Synthetic Control Methods
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Publication:5881968
DOI10.1080/01621459.2021.1979561zbMATH Open1506.62244arXiv1912.07120OpenAlexW3199796228MaRDI QIDQ5881968FDOQ5881968
Authors: Matias D. Cattaneo, Yingjie Feng, Rocío Titiunik 
Publication date: 14 March 2023
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Abstract: Uncertainty quantification is a fundamental problem in the analysis and interpretation of synthetic control (SC) methods. We develop conditional prediction intervals in the SC framework, and provide conditions under which these intervals offer finite-sample probability guarantees. Our method allows for covariate adjustment and non-stationary data. The construction begins by noting that the statistical uncertainty of the SC prediction is governed by two distinct sources of randomness: one coming from the construction of the (likely misspecified) SC weights in the pre-treatment period, and the other coming from the unobservable stochastic error in the post-treatment period when the treatment effect is analyzed. Accordingly, our proposed prediction intervals are constructed taking into account both sources of randomness. For implementation, we propose a simulation-based approach along with finite-sample-based probability bound arguments, naturally leading to principled sensitivity analysis methods. We illustrate the numerical performance of our methods using empirical applications and a small simulation study. exttt{Python}, exttt{R} and exttt{Stata} software packages implementing our methodology are available.
Full work available at URL: https://arxiv.org/abs/1912.07120
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Cited In (8)
- Robust synthetic control
- An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls
- A Penalized Synthetic Control Estimator for Disaggregated Data
- The Augmented Synthetic Control Method
- Synthetic Control with Time Varying Coefficients A State Space Approach with Bayesian Shrinkage
- Confidence intervals of treatment effects in panel data models with interactive fixed effects
- A flexible synthetic control method for modeling policy evaluation
- On the Properties of the Synthetic Control Estimator with Many Periods and Many Controls
Uses Software
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