Cross-Validating Synthetic Controls
Stefan Klößner and
MPRA Paper from University Library of Munich, Germany
While the literature on synthetic control methods mostly abstracts from out-of-sample measures, Abadie et al. (2015) have recently introduced a cross-validation approach. This technique, however, is not well-defined since it hinges on predictor weights which are not uniquely defined. We fix this issue, proposing a new, well-defined cross-validation technique, which we apply to the original Abadie et al. (2015) data. Additionally, we discuss how this new technique can be used for comparing different specifications based on out-of-sample measures, avoiding the danger of cherry-picking.
Keywords: Synthetic Control Methods; Cross-Validation; Specification Search. (search for similar items in EconPapers)
JEL-codes: C22 C52 (search for similar items in EconPapers)
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https://mpra.ub.uni-muenchen.de/83679/1/MPRA_paper_83679.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/83679/2/SCM_CrossValidation_2.pdf original version (application/pdf)
Journal Article: Cross-Validating Synthetic Controls (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:83679
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