I'm using the CausalImpact package and noticed that the results are very sensitive to the choice of control groups being fed. My main questions are:

  1. Is there a recommended approach for how to choose the control groups?
  2. Is there risk of overfitting by providing too many control groups? (or is there some regularization that handles this under the hood)
  3. How does one determine an "optimal" set of controls? My results tend to be quite sensitive to the groups of (and # of) controls that I provide.

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