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每週研討會

Confidence Set for Group Membership

  • 日期 2017-11-03 (週五)
  • 時間 10:30 AM
  • 地點 Conference Room B110
  • 主持人 Professor Yu-Chin Hsu
  • 演講者 Professor Ryo Okui
  • 演講者簡介 Professor Okui received his Ph.D. in Economics from University of Pennsylvania in 2005. He is currently an Associate Professor at NYU Shanghai. His research interests are Microeconometrics and Applied microeconomics.
  • 摘要 We consider panel models in which heterogeneity is driven by a latent group structure. We propose procedures for calculating a confidence set for group membership. Our confidence sets can be used to quantify the uncertainty inherent in these estimated group memberships. We consider uniform confidence sets that cover the true group membership for all units with a pre-specified probability as well as unitwise confidence sets. Our approach exploits the fact that the problem of sorting units into groups can be characterized by a large number of moment inequalities. We develop procedures for testing the group membership of all units simultaneously. The confidence sets are derived by inverting this test. We use analytical critical values obtained from the theory of self-normalized sums as well as bootstrap critical values. The theoretical justification of our methods is based on large N, T asymptotics, where T can be very small compared to N. For both analytical and bootstrap critical values, we suggest a finite sample adjustment that is motivated by the finite sample behavior of the test statistic under normal errors. This adjustment gives confidence sets that have good coverage even for very small T and for non-normal errors. To illustrate their empirical relevance, we apply our methods to the classification of countries according to their respective paths towards democratization, and to the classification of US states according to the effects of minimum wage on unemployment.
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