NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Matrix Completion Methods for Causal Panel Data Models

Susan Athey, Mohsen Bayati, Nikolay Doudchenko, Guido Imbens, Khashayar Khosravi

NBER Working Paper No. 25132
Issued in October 2018
NBER Program(s):Industrial Organization, Labor Studies, Technical Working Papers

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 missing data to have a time series dependency structure. We also present novel insights concerning the connections between the matrix completion literature, the literature on interactive fixed effects models and the literatures on program evaluation under unconfoundedness and synthetic control methods.

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Document Object Identifier (DOI): 10.3386/w25132

 
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