Confidence set for group membership

• 成果类型: Article
• 署名作者: Dzemski, Andreas; Okui, Ryo
• 署名单位: University of Gothenburg; Keio University
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE1975
• 发表日期: 2024
• 页码: 245-277
• 关键词: Panel data; clustering set; joint one-sided test; High-dimensional Statistics; C23; C33; C38

摘要

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 -> infinity 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.