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Cross-Validating Synthetic Controls

Becker, Martin and Klößner, Stefan and Pfeifer, Gregor (2017): Cross-Validating Synthetic Controls.

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SCM_CrossValidation_2.pdf

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Abstract

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.

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