Recent working papers

  • Confidence set for group membership

    with Ryo Okui

    Working paper (v4, December 2020) - revision requested by Quantitative Economics

    Our confidence set quantifies the statistical uncertainty from data-driven cluster assignment in clustered panel models. It covers the true cluster 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 or develop in this paper. We provide an empirical application as well as Monte Carlo evidence that the confidence set has adequate coverage in finite samples.

Published articles

  • Convergence rate of estimators of clustered panel models with misclassification

    with Ryo Okui

    Economics Letters (2021), Volume 203

    We study kmeans clustering estimation of panel data models with a latent group structure and \(N\) units and \(T\) time periods under long panel asymptotics. We show that the group-specific coefficients can be estimated at the parametric root \(NT\) rate even if error variances diverge as \(T \to \infty\) and consequently some units are asymptotically misclassified. This limit case approximates empirically relevant settings and is not covered by existing asymptotic results.

  • An empirical model of dyadic link formation in a network with unobserved heterogeneity

    Review of Economics and Statistics (2019), Volume 101(5)

    I study a dyadic linking model in which agents form directed links that exhibit homophily and reciprocity. A fixed effect approach accounts for unobserved sources of degree heterogeneity. I consider specification testing and inference with respect to the homophily and reciprocity parameters. The specification test compares observed transitivity to predicted transitivity. All test statistics account for the presence of an incidental parameter by using formulas based on an asymptotic approximation. In an application to favor networks in Indian villages, the specification test detects that the dyadic linking model underestimates the true transitivity of the network.

Current projects

Old working papers