arXiv 31 Dec 2017 · Econometrics · publishedQuantitative Economics (2024) · 8 citations (OpenAlex)
arXiv:1801.00332 · PDF · DOI · OpenAlex · Extracted main text
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 $N, T \to \infty$ 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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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Bonhomme, Stéphane, Manresa, Elena (2015) Grouped patterns of heterogeneity in panel data | 1.000 | 10 | 5 | 100% |
| 2 | Su, Liangjun, Shi, Zhentao, Phillips, Peter (2016) Identifying latent structures in panel data | 1.000 | 8 | 5 | 100% |
| 3 | Wang, Wuyi, Phillips, Peter C. B., Su, Liangjun (2018) Homogeneity pursuit in panel data models: theory and applications | 1.000 | 6 | 4 | 100% |
| 4 | Dzemski, Andreas, Okui, Ryo (2021) Convergence rate of estimators of clustered panel models with misclassification self | 1.000 | 5 | 3 | 100% |
| 5 | Andrews, Donald W. K (1991) Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation | 0.928 | 4 | 3 | 100% |
| 6 | Wang, Wuyi, Phillips, Peter C. B., Su, Liangjun (2019) The heterogeneous effects of the minimum wage on employment across states | 0.874 | 8 | 2 | 100% |
| 7 | Lu, Xun, Su, Liangjun (2017) Determining the number of groups in latent panel structures with an application to income and democracy | 0.843 | 3 | 3 | 100% |
| 8 | Chernozhukov, Victor, Chetverikov, Denis, Kato, Kengo (2019) Inference on causal and structural parameters using many moment inequalities | 0.811 | 4 | 2 | 100% |
| 9 | Vogt, Michael, Linton, Oliver (2017) Classification of nonparametric regression functions in heterogeneous panels | 0.737 | 3 | 2 | 100% |
| 10 | Newey, Whitney K., West, Kenneth D (1987) A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix | 0.644 | 2 | 2 | 100% |
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