conformal_inference: Conformal Inference for Synthetic Control Estimators

In coresynth: Fast and Unified Synthetic Control Methods

Conformal Inference for Synthetic Control Estimators

Description

Implements the permutation-based conformal inference procedure of Chernozhukov, Wuthrich & Zhu (2021, JASA). The test inverts a sharp null H_0: \tau = \tau_0 by imputing the treated post-treatment counterfactual as Y_{1t} - \tau_0, re-estimating the counterfactual proxy on all T periods (imposing the null), and computing a moving-block permutation p-value from the estimated residuals. A confidence interval is obtained by test inversion over a grid of candidate \tau_0.

Usage

conformal_inference(
  fit,
  tau0 = 0,
  q = 1,
  alternative = c("two.sided", "greater", "less"),
  ci = TRUE,
  level = 0.95,
  grid = NULL,
  n_grid = 200L,
  grid_mult = 4,
  ...
)

Arguments

fit	A coresynth object from scm_fit().
tau0	Null value of the ATT for the reported p-value (default 0).
q	Exponent of the S_q test statistic (⁠S_q = (T_post^{-1} \sum |u_t|^q)^{1/q}⁠). Default 1, robust to heavy-tailed data (CWZ 2021). Used only for alternative = "two.sided"; one-sided tests use the signed mean post-treatment residual.
alternative	"two.sided" (default), "greater", or "less".
ci	Logical; construct a confidence interval by test inversion (default TRUE).
level	Confidence level for the interval (default 0.95).
grid	Optional numeric vector of candidate \tau_0 values for test inversion. When NULL (default), a grid of n_grid points is centred on the point estimate with half-width grid_mult times the pre-treatment residual standard deviation.
n_grid	Number of grid points when grid = NULL (default 200).
grid_mult	Half-width multiplier when grid = NULL (default 4).
...	Unused.

Details

Supported for sharp (single-cohort) fits with method in c("scm", "sdid", "gsc", "mc", "si"). Staggered, multi-arm, and tasc fits are not supported (use sdid_inference(), gsc_inference(), or si_inference() instead).

Value

A list of class c("conformal_inference", "coresynth_inference") with estimate, se (NA; conformal has no SE), p_value (at tau0), ci_lower, ci_upper, method ("conformal"), n_controls, alternative, staggered (FALSE), plus tau0, q, grid, and p_grid (p-values along the grid). Compatible with tidy() / glance().

References

Chernozhukov, V., Wuthrich, K., & Zhu, Y. (2021). An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls. Journal of the American Statistical Association, 116(536), 1849-1864.

coresynth documentation built on Aug. 28, 2026, 1:06 a.m.