Counterfactual Imputation: Comments on “Imputation of Counterfactual Outcomes when the Errors are Predictable” by Silvia Gonçalves and Serena Ng

The measurement of treatment (intervention) effects on a single (or just a few) treated unit(s) based on counterfactuals constructed from artificial controls has become a popular practice in applied statistics and economics since the proposal of the synthetic control method. However, most of the literature has ignored the time-series properties of the data. The work of Gonçalves and Ng fills this gap by proposing a simple correction for existing estimators to take into account serial and cross-correlation in the data. This note provides some thoughts on Gonçalves and Ng’s method.