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From Department of Economics PUC-Rio (Brazil)
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653: ARCO: an artificial counterfactual approach for high-dimensional panel time-series data We consider a new method to estimate causal effects when a treated unit suffers a shock or an intervention, such as a policy change, but there is not a readily available control group or counterfactual. We propose a two-step approach where in the first stage an artificial counterfactual is estimated from a large-dimensional set of variables from pool of untreated units (“donors pool”) using shrinkage methods, such as the Least Absolute Shrinkage Operator (LASSO). In the second stage, we estimate the average intervention effect on a vector of variables belonging to the treated unit, which is consistent and asymptotically normal. Our results are valid uniformly over a wide class of probability laws. Furthermore, we show that these results still hold when the date of the intervention is unknown and must be estimated from the data. Tests for multiple interventions and for contamination effects are also derived. By a simple transformation of the variables of interest, it is also possible to test for intervention effects on several moments (such as the mean or the variance) of the variables of interest. Finally, we can disentangle the actual intervention effects from confounding factors that usually bias “before-and-after” estimators. A detailed Monte Carlo experiment evaluates the properties of the method in finite samples and compares our proposal with other alternatives such as the differences-in-differences, factor models and the synthetic control method. An empirical application to evaluate the effects on inflation of a new anti tax evasion program in Brazil is considered. Our methodology is inspired by different branches of the literature such as: the Synthetic Control method, the Global Vector Autoregressive models, the econometrics of structural breaks, and the counterfactual analysis based on macro-econometric and panel data models. Creation-Date: 2016-08 Downloads
Carlos Viana de Carvalho, Ricardo Masini and Marcelo Cunha Medeiros
652: Do Government Audits Reduce Corruption? Estimating the Impacts of Exposing Corrupt Politicians Downloads
Eric Avis, Claudio Ferraz and Frederico Finan
651: Apprenticeship as a stepping stone to beter jobs: Evidence from brazilian matched employer-employee data Downloads
Carlos Henrique Corseuil, Miguel Foguel and Gustavo Gonzaga
650: Is There an Output Free Lunch for Fiscal Inationary Policies? Downloads
Moises S. Andrade and Tiago Berriel
649: Measuring the Effect of the Zero Lower Bound on Monetary Policy Downloads
Carlos Viana de Carvalho, Eric Hsu and Fernanda Necchio
648: Demographics and Real Interest Rates: Inspecting the Mechanism Downloads
Carlos Carvalho, Andrea Ferrero and Fernanda Necchio
647: What if Brazil Hadn't Floated the Real in 1999? Downloads
Carlos Carvalho and André D. Vilela
646: Juros e Câmbio no Brasil: Avanços e Desafios Downloads
Marcio Garcia
645: E Se o Brasil Não Tivesse Adotado Câmbio Flutuante em 1999? Downloads
Carlos Carvalho and André D. Vilela
644: Long Term Debt and Credit Crisis in a Liquidity Constrained Economy Downloads
Tiago Berriel and Rodrigo Abreu
643: India as a creditor: sterling balances, 1940-1953 Downloads
Marcelo de Paiva Abreu
642: Robust Mechanisms: the curvature case Downloads
Vinicius Carrasco, Vitor Farinha Luz, Paulo Monteiro and Humberto Moreira
641: Robust Selling Mechanisms Downloads
Vinicius Carrasco, Vitor Farinha Luz, Paulo Monteiro and Humberto Moreira
640: Human Capital Persistence and Development Downloads
Claudio Ferraz, Rodrigo Soares and Rudi Rocha
639: Procuring Firm Growth: The Effects of Government Purchases on Firm Dynamics Downloads
Claudio Ferraz, Frederico Finan and Dimitri Joe de Alencar Szerman
638: Central Bank Balance Sheet, Liquidity Trap, and Quantitative Easing Downloads
Arthur Galego Mendes and Tiago Berriel
637: Adaptative LASSO estimation for ARDL models with GARCH innovations Downloads
Marcelo Medeiros and Eduardo F. Mendes
636: l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations Downloads
Marcelo Medeiros and Eduardo F. Mendes
635: Risk Contracts with Private Information and One-Sided Commitment Downloads
Eduardo Zilberman and Pedro Hemsley
634: Real Rigidities and the Cross-Sectional Distribution of Price Stickiness: Evidence from Micro and Macro Data Combined Downloads
Carlos Carvalho, Niels Arne Dam and Jae Won Lee
633: Factor Specificity and Real Rigidities Downloads
Carlos Carvalho and Fernanda Feitosa Nechio
632: Firms, Informality and Development: Theory and evidence from Brazil Downloads
Gabriel Ulyssea
631: Capital Controls and Implications for Surveillance and coordination: Brazil and Latin America Downloads
Marcio Garcia
630: FX interventions in Brazil: a synthetic control approach Downloads
Marcos Chamon, Laura Candido de Souza and Marcio Garcia
629: Macroeconomic Effects of Credit Deepening in Latin America Downloads
Carlos Carvalho, Eduardo Zilberman, Laura Candido de Souza and Nilda Mercedes Cabrera Pasca
628: Monetary Policy and Real Exchange Rate Dynamics in Sticky-Price Models Downloads
Carlos Carvalho and Fernanda Feitosa Necchio
627: Selection and Monetary Non-Neutrality in Time-Dependent Pricing Models Downloads
Carlos Carvalho and Felipe Schwartzman
626: A Década Perdida: 2003 – 2012 Downloads
Isabela Ferreira Duarte, Joao De Mello and Vinicius Nascimento Carrasco
625: Rotatividade do trabalho e incentivos da legislação trabalhista Downloads
Gustavo Gonzaga and Rafael Cayres Pinto
624: Economic gains of realized volatility in the Brazilian stock market Downloads
Marcio Garcia, Marcelo Medeiros and Francisco Eduardo de Luna e Almeida Santos
623: The impact of macroeconomic announcements in the Brazilian futures markets Downloads
Marcio Garcia, Marcelo Medeiros and Francisco Eduardo de Luna e Almeida Santos
622: Price Discovery in Brazilian FX Markets Downloads
Marcio Garcia, Marcelo Medeiros and Francisco Santos
621: DNDFs:a more efficient way to intervene in FX markets? Downloads
Marcio Garcia and Tony Volpon
620: Conhecimento ou Práticas Pedagógicas? Medindo os Efeitos da Qualidade dos Professores no Desempenho dos Alunos Downloads
Claudio Ferraz and Mauricio Fernandes
619: Wage Differentials: Trade Openness and Wage Bargaining Downloads
Gustavo Gonzaga, Cristina Terra and Batriz Muriel Hernandes
618: Do People Understand Monetary Policy? Downloads
Carlos Carvalho and Fernanda Nechio
617: Just Words? A Quantitative Analysis of the Communication of the Central Bank of Brazil Downloads
Carlos Carvalho, Fernando Cordeiro and Juliana Vargas
616: A relação entre proficiência e dispersão de idade na sala de aula: a influência do nível de qualificação do professor Downloads
Gustavo Gonzaga, Danille Carusi and Sergio Firpo
615: Is risk good for saving? Message from the general equilibrium model Downloads
Yves Balasko and Enrique Kawamura
614: The Effects of Exposure to Hyperinflation on Occupational Choice Downloads
Caio Waisman, Joao De Mello and Eduardo Zilberman
613: O Programa de Aceleração do Crescimento Acelera o Crescimento? Downloads
Julio de Alencastro Graça Mereb and Eduardo Zilberman
612: On the Optimal Size of Public Employment Downloads
Anna Carolina Saba dos Reis and Eduardo Zilberman
611: Characterization of equilibria at which the advantageous gift phenomenon occurs Downloads
Yves Balasko
610: Heckscher-Ohlin explained by Walras Downloads
Yves Balasko
609: Social demand functions in general equilibrium Downloads
Yves Balasko
608: Informal Labor and the Cost of Social Programs: Evidence from 15 Years of Unemployment Insurance in Brazil Downloads
François Gerard and Gustavo Gonzaga
607: Evaluating a National Anti-Firearm Law and Estimating the Causal Effect of Guns on Crime Downloads
Daniel Cerqueira and Joao De Mello
606: Capital controls in Brazil: effective? Downloads
Marcos Chamon and Marcio Garcia
605: Living on the Edge: Youth Entry, Career and Exit in Drug-Selling Gangs Downloads
Leandro Carvalho and Rodrigo Soares
604: Let´s do it again: bagging equity premium predictors Downloads
Eric Hillebrand, Tae Hwy Lee and Marcelo Medeiros
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