Dynamic covariate balancing: estimating treatment effects over time with potential local projections
本文提出一种动态平衡方法，用于面板数据中随时间变化的处理效应估计，允许处理基于高维协变量和历史数据动态分配，并处理结果对过去处理轨迹的依赖，在高维情况下仍能保证统计推断。
Abstract This article concerns the estimation and inference of treatment effects in panel data settings when treatments change dynamically over time. We propose a balancing method that allows for (i) treatments to be assigned dynamically over time based on high-dimensional covariates, past outcomes and treatments; (ii) outcomes and time-varying covariates to depend on the trajectory of all past treatments; and (iii) heterogeneity of treatment effects. Our approach recursively projects potential outcomes’ expectations on past histories. It then controls the bias arising from the nonexperimental and sequential nature of this setting by balancing dynamically observable characteristics over time. We establish inferential guarantees for the proposed method even in cases where the number of observable characteristics greatly exceeds the sample size. We study numerical properties of the estimator and illustrate the advantages of the procedure in an empirical application.