{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,1]],"date-time":"2026-08-01T08:50:15Z","timestamp":1785574215264,"version":"3.56.0"},"reference-count":44,"publisher":"The Econometric Society","issue":"2","license":[{"start":{"date-parts":[[2024,1,1]],"date-time":"2024-01-01T00:00:00Z","timestamp":1704067200000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by-nc\/4.0\/legalcode"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["QE"],"abstract":"<jats:p>Our confidence set quantifies the statistical uncertainty from data\u2010driven group assignments in grouped panel models. It covers the true group memberships jointly for all units with pre\u2010specified probability and is constructed by inverting many simultaneous unit\u2010specific one\u2010sided tests for group membership. We justify our approach under \n            <jats:italic>N<\/jats:italic>,\n            <jats:italic>T<\/jats:italic>\u2009\u2192\u2009\u221e asymptotics using tools from high\u2010dimensional 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.\n          <\/jats:p>","DOI":"10.3982\/qe1975","type":"journal-article","created":{"date-parts":[[2024,4,25]],"date-time":"2024-04-25T12:22:43Z","timestamp":1714047763000},"page":"245-277","source":"Crossref","is-referenced-by-count":7,"title":["Confidence set for group membership"],"prefix":"10.3982","volume":"15","author":[{"given":"Andreas","family":"Dzemski","sequence":"first","affiliation":[{"name":"Department of Economics, University of Gothenburg"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Ryo","family":"Okui","sequence":"additional","affiliation":[{"name":"Graduate School of Economics and Faculty of Economics, University of Tokyo"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"2359","published-online":{"date-parts":[[2024]]},"reference":[{"key":"quan200320-bib-0001","doi-asserted-by":"crossref","first-page":"163","DOI":"10.1002\/jae.2467","volume":"31","author":"Ando","year":"2016","journal-title":"Journal of Applied Econometrics"},{"key":"quan200320-bib-0002","doi-asserted-by":"crossref","first-page":"817","DOI":"10.2307\/2938229","volume":"59","author":"Andrews","year":"1991","journal-title":"Econometrica"},{"key":"quan200320-bib-0003","doi-asserted-by":"crossref","first-page":"2805","DOI":"10.3982\/ECTA8166","volume":"80","author":"Andrews","year":"2012","journal-title":"Econometrica"},{"key":"quan200320-bib-0004","doi-asserted-by":"crossref","first-page":"119","DOI":"10.3982\/ECTA7502","volume":"78","author":"Andrews","year":"2010","journal-title":"Econometrica"},{"key":"quan200320-bib-0005","doi-asserted-by":"crossref","unstructured":"Azzalini, Adelchi and Alan Genz (2016), \u201cThe R package mnormt: The multivariate normal and t distributions (version 1.5-5).\u201d http:\/\/azzalini.stat.unipd.it\/SW\/Pkg-mnormt.","DOI":"10.1002\/sta4.129"},{"key":"quan200320-bib-0006","doi-asserted-by":"crossref","first-page":"1147","DOI":"10.3982\/ECTA11319","volume":"83","author":"Bonhomme","year":"2015","journal-title":"Econometrica"},{"key":"quan200320-bib-0007","series-title":"Econometric Society Monographs","doi-asserted-by":"crossref","first-page":"271","DOI":"10.1017\/9781108227223.009","volume-title":"Advances in Economics and Econometrics: Eleventh World Congress","volume":"2","author":"Canay","year":"2017"},{"key":"quan200320-bib-0008","doi-asserted-by":"crossref","first-page":"712","DOI":"10.3150\/23-BEJ1614","volume":"30","author":"Chang","year":"2024","journal-title":"Bernoulli"},{"key":"quan200320-bib-0009","doi-asserted-by":"crossref","first-page":"2309","DOI":"10.1214\/16-AOP1113","volume":"45","author":"Chernozhukov","year":"2017","journal-title":"The Annals of Probability"},{"key":"quan200320-bib-0010","doi-asserted-by":"crossref","first-page":"1867","DOI":"10.1093\/restud\/rdy065","volume":"86","author":"Chernozhukov","year":"2019","journal-title":"Review of Economic Studies"},{"key":"quan200320-bib-0011","unstructured":"Chetverikov, Denis and Elena Manresa (2022), \u201cSpectral and post-spectral estimators for grouped panel data models.\u201d Preprint. arXiv:2212.13324."},{"key":"quan200320-bib-0012","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1111\/j.2517-6161.1977.tb01600.x","volume":"39","author":"Dempster","year":"1977","journal-title":"Journal of the Royal Statistical Society. 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