An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls

We introduce new inference procedures for counterfactual and synthetic control methods for policy evaluation. We recast the causal inference problem as a counterfactual prediction and a structural breaks testing problem. This allows us to exploit insights from conformal prediction and structural bre...

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Vydané v:	Journal of the American Statistical Association Ročník 116; číslo 536; s. 1849 - 1864
Hlavní autori:	Chernozhukov, Victor, Wüthrich, Kaspar, Zhu, Yinchu
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Alexandria Taylor & Francis 02.10.2021 Taylor & Francis Ltd
Predmet:	computer software Constrained Lasso Control methods Counterfactual thinking Decriminalization Difference-in-differences Factor model Inference Matrices Matrix completion Model-free validity Panel data Permutation inference Permutations Policy analysis prediction Prostitution Regression analysis Robustness Statistical methods Statistics Time series time series analysis
ISSN:	0162-1459, 1537-274X, 1537-274X
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Popis
Shrnutí:	We introduce new inference procedures for counterfactual and synthetic control methods for policy evaluation. We recast the causal inference problem as a counterfactual prediction and a structural breaks testing problem. This allows us to exploit insights from conformal prediction and structural breaks testing to develop permutation inference procedures that accommodate modern high-dimensional estimators, are valid under weak and easy-to-verify conditions, and are provably robust against misspecification. Our methods work in conjunction with many different approaches for predicting counterfactual mean outcomes in the absence of the policy intervention. Examples include synthetic controls, difference-in-differences, factor and matrix completion models, and (fused) time series panel data models. Our approach demonstrates an excellent small-sample performance in simulations and is taken to a data application where we re-evaluate the consequences of decriminalizing indoor prostitution. Open-source software for implementing our conformal inference methods is available.
Bibliografia:	ObjectType-Article-1 SourceType-Scholarly Journals-1 ObjectType-Feature-2 content type line 14 content type line 23
ISSN:	0162-1459 1537-274X 1537-274X
DOI:	10.1080/01621459.2021.1920957