Department of Economics
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, Mohsen Bayati, Guido Imbens: 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.