Quantitative Economics

Journal Of The Econometric Society

Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331

Quantitative Economics: May, 2024, Volume 15, Issue 2

Confidence Set for Group Membership

p. 245-277

Andreas Dzemski, Ryo Okui

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.

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Supplemental Material

Supplement to "Confidence Set for Group Membership"

Andreas Dzemski and Ryo Okui

The replication package for this paper is available at https://doi.org/10.5281/zenodo.10452960. The Journal checked the data and codes included in the package for their ability to reproduce the results in the paper and approved online appendices.

Supplement to "Confidence Set for Group Membership"

Andreas Dzemski and Ryo Okui

This supplemental appendix contains material not found within the manuscript.