From Control to Treatment: Causal Forecasting Beyond the Observed Panel
从控制到处理:超越已观测面板的因果预测AI 解读 ↓
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从控制到处理:超越已观测面板的因果预测AI 解读 ↓
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Conventional panel data methods recover retrospective counterfactuals within the observed horizon. Many policy decisions, however, are prospective: how would an untreated unit evolve beyond the observed panel under an intervention it has not previously experienced? We develop a causal forecasting framework that combines the counterfactual logic of synthetic controls with multivariate time-series extrapolation. Under a latent factor model, we impose low-rank structure on the treated-state time factors. This yields the Two-Way Synthetic Forecasting estimator, which learns cross-unit weights from pre-treatment outcomes and temporal dynamics from treated donors' post-treatment trajectories. We establish pointwise identification, finite-sample error bounds, consistency, asymptotic normality, and inference for prespecified linear summaries over fixed forecast horizons. Simulations support the theory, and an application to the opening of NFL stadiums during the 2020 season illustrates how the method can inform a prospective policy change using only information available at the decision date.
经济预测中的L2松弛方法
We leverage an ensemble of many regressors, the number of which can exceed the sample size, for economic prediction. An underlying latent factor structure implies a dense regression model with highly correlated covariates. We propose the L2-relaxation method for estimating the regression coefficients and extrapolating the out-of-sample (OOS) outcomes. This framework can be applied to policy evaluation using the panel data approach (PDA), where we further establish inference…
基于反事实预测的处理效应估计
We consider estimation and inference of the effects of a policy in the absence of an untreated or control group. We obtain unbiased estimators of individual (heterogeneous) treatment effects and a consistent and asymptotically normal estimator of the average treatment effect. Our estimator averages, across individuals, the difference between observed post-treatment outcomes and unbiased forecasts of their counterfactuals, based on a (short) time series of pre-treatment data.…
含变量测量误差的最小二乘估计
Error-in-variables regression is a common ingredient in treatment effect estimators using panel data. This includes synthetic control estimators, counterfactual time series forecasting estimators, and combinations. We study high-dimensional least squares with correlated error-in-variables with a focus on these uses. We use our results to derive conditions under which the synthetic control estimator is asymptotically unbiased and normal with estimable variance, permitting…
面板数据的反事实预测
We address the challenge of forecasting counterfactual outcomes in a panel data with missing entries and temporally dependent latent factors -- a common scenario in causal inference, where estimating unobserved potential outcomes ahead of time is essential. We propose Forecasting Counterfactuals under Stochastic Dynamics (FOCUS), a method that extends traditional matrix completion methods by leveraging time series dynamics of the factors, thereby enhancing the prediction…
一般缺失模式下高维因子模型的推断
This paper establishes the inferential theory for the least squares estimation of large factor models with missing data. We propose a unified framework for asymptotic analysis of factor models that covers a wide range of missing patterns, including heterogenous random missing, selection on covariates/factors/loadings, block/staggered missing, mixed frequency and ragged edge. We establish the average convergence rates of the estimated factor space and loading space, the limit…
基于随机森林的面板数据政策评价方法
ABSTRACT It is challenging to conduct controlled experiments to assess the impacts of social policy. To address this, past studies propose a panel data approach using factor models to estimate average treatment effects. The selection of control units is a critical step to balance the goodness of fit within‐sample with the posttreatment forecasting error when the number of observed potential control units is large. In this study, we propose using random forests, an ensemble…