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Counterfactual copula

Author

Listed:
  • Lai, Tsung-Chih
  • Su, Jiun-Hua

Abstract

This paper proposes a nonparametric estimator of the counterfactual copula of two outcome variables that would be affected by a policy intervention. The proposed estimator allows policymakers to conduct ex ante evaluations by comparing the estimated counterfactual and actual copulas as well as their corresponding association measures. Asymptotic properties of the counterfactual copula estimator are established under regularity conditions. These conditions are also used to validate the nonparametric bootstrap for inference on counterfactual quantities. Simulation results indicate that our estimation and inference procedures perform well in moderately sized samples.

Suggested Citation

  • Lai, Tsung-Chih & Su, Jiun-Hua, 2024. "Counterfactual copula," Economics Letters, Elsevier, vol. 241(C).
    • Handle: RePEc:eee:ecolet:v:241:y:2024:i:c:s0165176524003136
    DOI: 10.1016/j.econlet.2024.111829
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    References listed on IDEAS

    as
    1. Yu-Chin Hsu & Tsung-Chih Lai & Robert P. Lieli, 2022. "Counterfactual Treatment Effects: Estimation and Inference," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 240-255, January.
    2. Victor Chernozhukov & Iván Fernández‐Val & Blaise Melly, 2013. "Inference on Counterfactual Distributions," Econometrica, Econometric Society, vol. 81(6), pages 2205-2268, November.
    3. Rothe, Christoph, 2010. "Nonparametric estimation of distributional policy effects," Journal of Econometrics, Elsevier, vol. 155(1), pages 56-70, March.
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    More about this item

    Keywords

    Copula; Counterfactual policy effect;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models

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