Dzemski, Andreas; Okui, Ryo - In: Quantitative economics : QE ; journal of the … 15 (2024) 2, pp. 245-277
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...
