Quantile control method: Causal inference with one treated unit via random forest

Guanpeng Yan (), Qiang Chen and Zhijie Xiao ()
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Guanpeng Yan: Shandong University of Finance and Economics
Qiang Chen: Shandong University
Zhijie Xiao: Boston College

Stata Journal, 2025, vol. 25, issue 2, 407-437

Abstract: The synthetic control and regression control methods are popular ap- proaches for estimating treatment effects in panel data with one treated unit but often rely on placebo tests for informal inference. Chen, Xiao, and Yao (Forth- coming, https: // doi.org / 10.1016 / j.jeconom.2024.105789) propose the quantile control method (QCM), which constructs confidence intervals for treatment ef- fects by estimating the 2.5% and 97.5% quantiles of the counterfactual outcomes through quantile regressions. In particular, a nonparametric ensemble machine learning method known as quantile random forest is used to implement quantile regressions. It is robust to heteroskedasticity, autocorrelation, and model misspec- ifications and easily accommodates high-dimensional data. Simulations showed that QCM confidence intervals enjoy excellent empirical coverage in finite samples. In this article, we introduce the qcm command, which easily implements QCM, and illustrate its use by revisiting the examples of the economic impact of German reunification on West Germany and the effect of carbon taxes on CO2 emissions in Sweden.

Keywords: qcm; quantile control method; quantile random forest; quantile regression; synthetic control method; regression control method (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1177/1536867X251341181

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