Counterfactual analysis with artificial controls: inference, high dimensions and nonstationarity
Marcelo Cunha Medeiros (PUC-Rio)

Recently, there has been growing interest in developing statistical tools to conduct counterfactual analysis with aggregate data when a single ``treated'' unit suffers an intervention, such as a policy change, and there is no obvious control group. Usually, the proposed methods are based on the construction of an artificial counterfactual from a pool of ``untreated'' peers, organized in a panel data structure. In this paper, we consider a general framework for counterfactual analysis for high-dimensional, nonstationary data with either deterministic and/or stochastic trends, which nests well-established methods, such as the synthetic control. We propose a resampling procedure to test intervention effects that does not rely on postintervention asymptotics and that can be used even if there is only a single observation after the intervention. A simulation study is provided as well as an empirical application.