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Martin Becker, Stefan Klößner and Gregor Pfeifer
''Cross-Validating Synthetic Controls''
( 2018, Vol. 38 No.1 )
While the literature on synthetic control methods mostly abstracts from out-of-sample measures, Abadie et al. (2015) have recently introduced a cross-validation approach. This technique, however, is not well-defined since it hinges on predictor weights which are not uniquely defined. We fix this issue, proposing a new, well-defined cross-validation technique, which we apply to the original Abadie et al. (2015) data. Additionally, we discuss how this new technique can be used for comparing different specifications based on out-of-sample measures, avoiding the danger of cherry-picking.
Keywords: Synthetic Control Methods, Cross-Validation, Specification Search
JEL: C5 - Econometric Modeling: General
C2 - Single Equation Models; Single Variables: General
Manuscript Received : Oct 12 2017 Manuscript Accepted : Mar 23 2018

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