EconPapers    
Economics at your fingertips  
 

An exact and robust conformal inference method for counterfactual and synthetic controls

Victor Chernozhukov, Kaspar Wüthrich () and Yu Zhu
Additional contact information
Yu Zhu: Institute for Fiscal Studies

No CWP62/17, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: This paper introduces new inference methods for counterfactual and synthetic control methods for evaluating policy effects. Our inference methods work in conjunction with many modern and classical methods for estimating the counterfactual mean outcome in the absence of a policy intervention. Specifically, our methods work together with the difference-in-difference, canonical synthetic control, constrained and penalized regression methods for synthetic control, factor/matrix completion models for panel data, interactive fixed effects panel models, time series models, as well as fused time series panel data models. The proposed method has a double justification. (i) If the residuals from estimating the counterfactuals are exchangeable as implied, for example, by i.i.d. data, our procedure achieves exact finite sample size control without any assumption on the specific approach used to estimate the counterfactuals. (ii) If the data exhibit dynamics and serial dependence, our inference procedure achieves approximate uniform size control under weak and easy-to-verify conditions on the method used to estimate the counterfactual. We verify these condition for representative methods from each group listed above. Simulation experiments demonstrate the usefulness of our approach in finite samples. We apply our method to re-evaluate the causal effect of election day registration (EDR) laws on voter turnout in the United States.

Date: 2017-12-26
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

Downloads: (external link)
https://www.ifs.org.uk/uploads/CWP621717.pdf (application/pdf)

Related works:
Working Paper: An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls (2019) Downloads
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:ifs:cemmap:62/17

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().

 
Page updated 2019-10-09
Handle: RePEc:ifs:cemmap:62/17