Least Squares with Error in Variables

04/18/2021
by   David A. Hirshberg, et al.
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Error-in-variables regression is a common ingredient in treatment effect estimators using panel data. This includes synthetic control estimators, counterfactual time series forecasting estimators, and combinations. We study high-dimensional least squares with correlated error-in-variables with a focus on these uses. We use our results to derive conditions under which the synthetic control estimator is asymptotically unbiased and normal with estimable variance, permitting inference without assuming time-stationarity, unit-exchangeability, or the absence of weak factors. These results hold in an asymptotic regime in which the number of pre-treatment periods goes to infinity and the number of control units can be much larger (p ≫ n).

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