EconPapers    
Economics at your fingertips  
 

Inference on average treatment effects in aggregate panel data settings

Victor Chernozhukov, Kaspar Wuthrich and Yinchu Zhu

Papers from arXiv.org

Abstract: This paper studies inference on treatment effects in aggregate panel data settings with a single treated unit and many control units. We propose new methods for making inference on average treatment effects in settings where both the number of pre-treatment and the number of post-treatment periods are large. We use linear models to approximate the counterfactual mean outcomes in the absence of the treatment. The counterfactuals are estimated using constrained Lasso, an essentially tuning free regression approach that nests difference-in-differences and synthetic control as special cases. We propose a $K$-fold cross-fitting procedure to remove the bias induced by regularization. To avoid the estimation of the long run variance, we construct a self-normalized $t$-statistic. The test statistic has an asymptotically pivotal distribution (a student $t$-distribution with $K-1$ degrees of freedom), which makes our procedure very easy to implement. Our approach has several theoretical advantages. First, it does not rely on any sparsity assumptions. Second, it is fully robust against misspecification of the linear model. Third, it is more efficient than difference-in-means and difference-in-differences estimators. The proposed method demonstrates an excellent performance in simulation experiments, and is taken to a data application, where we re-evaluate the economic consequences of terrorism.

New Economics Papers: this item is included in nep-big and nep-ecm
Date: 2018-12
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1812.10820 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1812.10820

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2019-01-29
Handle: RePEc:arx:papers:1812.10820