Prediction Intervals of Panel Data Approach for Programme Evaluation

ABSTRACT We consider the inference on individual and time specific treatment effects on the treated within the framework of panel data approach for programme evaluation. We formulate the target problem as constructing prediction intervals for high‐dimensional linear regressions with weakly dependent data. Post‐LASSO OLS is used for estimation, while dependent wild bootstrap and simple residual bootstrap are used for the construction of prediction intervals. The proposed prediction intervals are proved to have asymptotic validity as the number of pretreatment times goes to infinity. In the proof, we also establish the model selection consistency of LASSO for dependent data and under bootstrap measure, which may be of independent interest. Monte Carlo experiments illustrate that our method outperforms existing methods in finite samples under a wide variety of data generating processes except nonstationary data. Two empirical applications are also provided.

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Publication Details

Journal
Journal of Applied Econometrics
Published
2025-05-19
DOI
https://doi.org/10.1002/jae.3134
Primary Topic
Advanced Causal Inference Techniques
Type
article
Field-Weighted Citation Impact
0.00

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article

Prediction Intervals of Panel Data Approach for Programme Evaluation

Xingyu Li, Qiankun Zhou, Yan Shen, Hongyi Jiang
Journal of Applied Econometrics
Advanced Causal Inference Techniques
article

Prediction Intervals of Panel Data Approach for Programme Evaluation

Xingyu Li, Qiankun Zhou, Yan Shen, Hongyi Jiang
article en

Abstract

ABSTRACT We consider the inference on individual and time specific treatment effects on the treated within the framework of panel data approach for programme evaluation. We formulate the target problem as constructing prediction intervals for high‐dimensional linear regressions with weakly dependent data. Post‐LASSO OLS is used for estimation, while dependent wild bootstrap and simple residual bootstrap are used for the construction of prediction intervals. The proposed prediction intervals are proved to have asymptotic validity as the number of pretreatment times goes to infinity. In the proof, we also establish the model selection consistency of LASSO for dependent data and under bootstrap measure, which may be of independent interest. Monte Carlo experiments illustrate that our method outperforms existing methods in finite samples under a wide variety of data generating processes except nonstationary data. Two empirical applications are also provided.

Journal of Applied EconometricsVol. 40(6)
Louisiana State University (US), Peking University (CN), Zhejiang University of Finance and Economics (CN)
National Natural Science Foundation of China
Openalex Percentile: Top 89%
Advanced Causal Inference Techniques
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