综合控制方法与大数据

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摘要翻译：
许多宏观经济政策问题可以在案例研究框架中评估，在案例研究框架中，一个被处理单位的时间序列与一个由大量控制单位组成的反事实相比较。我为这个设置提供了一个通用框架，通过最小化欠拟合（偏差）和过拟合（方差）之间的折衷来预测反事实。该框架将最近提出的结构化和简化的机器学习方法作为特例嵌套在一起。此外，差中差匹配和原始综合控制是框架的限制性情况，通常不最小化偏差-方差目标。通过仿真研究，我发现当潜在控件数量较多或处理单元与控件有实质性差异时，机器学习方法优于传统方法。有了一个工具箱的方法，我重温了一项关于经济自由化对经济增长的影响的研究。我在最初的研究中没有发现影响的几个国家发现了影响。此外，我考察了一个系统的重要银行如何应对不断增加的资本要求，使用大量的银行池来估计反事实。最后，我用一个新的扫描仪数据集评估了产品价格变化对产品销售的影响。
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英文标题：
《Synthetic Control Methods and Big Data》
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作者：
Daniel Kinn
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最新提交年份：
2018
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分类信息：

一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
  Many macroeconomic policy questions may be assessed in a case study framework, where the time series of a treated unit is compared to a counterfactual constructed from a large pool of control units. I provide a general framework for this setting, tailored to predict the counterfactual by minimizing a tradeoff between underfitting (bias) and overfitting (variance). The framework nests recently proposed structural and reduced form machine learning approaches as special cases. Furthermore, difference-in-differences with matching and the original synthetic control are restrictive cases of the framework, in general not minimizing the bias-variance objective. Using simulation studies I find that machine learning methods outperform traditional methods when the number of potential controls is large or the treated unit is substantially different from the controls. Equipped with a toolbox of approaches, I revisit a study on the effect of economic liberalisation on economic growth. I find effects for several countries where no effect was found in the original study. Furthermore, I inspect how a systematically important bank respond to increasing capital requirements by using a large pool of banks to estimate the counterfactual. Finally, I assess the effect of a changing product price on product sales using a novel scanner dataset.
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PDF链接：
https://arxiv.org/pdf/1803.00096

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