Graduate School of Business
Stanford, CA 94305
Institutional Affiliation: stanford university
NBER Working Papers and Publications
|March 2019||Ensemble Methods for Causal Effects in Panel Data Settings|
with Susan Athey, Guido Imbens, Zhaonan Qu: w25675
In many prediction problems researchers have found that combinations of prediction methods (“ensembles”) perform better than individual methods. A simple example is random forests, which combines predictions from many regression trees.
A striking, and substantially more complex, example is the Netflix Prize competition where the winning entry combined predictions using a wide variety of conceptually very different models. In macro-economic forecasting researchers have often found that averaging predictions from different models leads to more accurate forecasts.
In this paper we apply these ideas to synthetic control type problems in panel data setting. In this setting a number of conceptually quite different methods have been developed, with some assuming correlations between units that a...
Published: Susan Athey & Mohsen Bayati & Guido Imbens & Zhaonan Qu, 2019. "Ensemble Methods for Causal Effects in Panel Data Settings," AEA Papers and Proceedings, vol 109, pages 65-70.
|October 2018||Matrix Completion Methods for Causal Panel Data Models|
with Susan Athey, Nikolay Doudchenko, Guido Imbens, Khashayar Khosravi: w25132
In this paper we study methods for estimating causal effects in settings with panel data, where a subset of units are exposed to a treatment during a subset of periods, and the goal is estimating counterfactual (untreated) outcomes for the treated unit/period combinations. We develop a class of matrix completion estimators that uses the observed elements of the matrix of control outcomes corresponding to untreated unit/periods to predict the “missing” elements of the matrix, corresponding to treated units/periods. The approach estimates a matrix that well-approximates the original (incomplete) matrix, but has lower complexity according to the nuclear norm for matrices. From a technical perspective, we generalize results from the matrix completion literature by allowing the patterns of m...