Confidence set for group membership

Andreas Dzemski and Ryo Okui

Quantitative Economics, 2024, vol. 15, issue 2, 245-277

Abstract: Our confidence set quantifies the statistical uncertainty from data‐driven group assignments in grouped panel models. It covers the true group memberships jointly for all units with pre‐specified probability and is constructed by inverting many simultaneous unit‐specific one‐sided tests for group membership. We justify our approach under N,T → ∞ asymptotics using tools from high‐dimensional statistics, some of which we extend in this paper. We provide Monte Carlo evidence that the confidence set has adequate coverage in finite samples. An empirical application illustrates the use of our confidence set.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.3982/QE1975

Related works:
Working Paper: Confidence set for group membership (2023)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:quante:v:15:y:2024:i:2:p:245-277

Ordering information: This journal article can be ordered from
https://www.econometricsociety.org/membership

Access Statistics for this article

More articles in Quantitative Economics from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().