Econometrics Seminar - Kevin Song, University of British Columbia

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Location: 3060F Jenkins Nanovic Halls

Interested parties are welcome to attend.

Presentation Title: SYNTHETIC DECOMPOSITION FOR COUNTERFACTUAL PREDICTIONS

(with Nathan Canen)

 

Abstract:

Producing predictions for a new policy is one of the most important, yet challenging, problems in empirical research. A common method in the literature is to decompose the data generating process from a source population into a policy-invariant structure and source-specific covariates and transfer the invariant structure to the target population. In this paper, we generalize this approach to a setting where there are multiple source populations (e.g., multiple regions/countries/markets that have been subject to similar policies of interest in the past). We propose a novel method of constructing a synthetic policy-invariant structure from these source populations to generate predictions for a new policy in the target population. For this, we formulate a policy-invariance condition, and develop data-dependent weights for the synthetic structure so that it is as close as possible to satisfying the invariance condition. We develop a general procedure to construct asymptotic confidence intervals for counterfactual predictions and prove its asymptotic validity.

 

Contact Marinho Bertanha for information.