Dear all,
My question: is there an alternative synthetic control method package to synth and synth_runner that controls for heteroscedasticity?
Background: I am using the commands synth and synth_runner for an analysis with one and several treated units. I was asked how the Synthetic Control Method (SCM) deals with heteroscedasticity and after reading up on the topic I found out that heteroscedasticity can occur when the variation of the transitory shocks is different between the treated and untreated unit or over time.
I also found a paper from David Powell (Imperferfect Synthetic Controls) in which he proposes a way for inference in SCM which controls for heteroscedasticity. However, this is a paper without a corresponding software package.
Thanks for any help.
Best,
Michael
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