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1. (2) This can be proved analogously to the derivation of the distribution of the χ̄2 statistic (see Kudo 1963; Nüesch 1966). (3) This follows from (2) upon observing that χ̃2(V ) is supported only on the nonnegative reals and that {[c, ∞) : c > 0} is a generating class.
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2. ≤ C4B2 N,T,4(log N)/ √ T. Thus, by Lemma A.2 in Chernozhukov, Chetverikov, and Kato (2014) for every r &gt; 0 and a universal constant K2 P max 1≤i≤N Uit(h, h0 ) − EP [Uit(h, h0 )] ≥ 2CB2 N,T,4(log N)/ √ T + r ≤e−Tr2/(48K2 βB4 N,T,4) + K216K2 βr−2 T−1 B4 N,T,4. Taking r = C1T−(1−c)/2B2 N,T,4 for 0 < c < 1 and C1 = 4( √ K2 + √ 3)Kβ ∨ C then yields P T−1 PT t=1 (dit(h)dit(h0) − EP [dit(h)dit(h0)]) σ2 i si,T (h)si,T (h0) &gt; C1B2 N,T,4T−(1−c)/2 log N ! ≤ 2T−c . By Hölder’s inequality EP " max 1≤i≤N max 1≤t≤T dit(h) σisi,T (h) 2 # ≤ v u u tEP max 1≤i≤N max 1≤t≤T dit(h) σisi,T (h) 4 ! ≤ √ T4KβB2 N,T,4.
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15. By Leamm A.3 of Chernozhukov, Chetverikov, and Kato (2014), we have E max 1≤i≤N max h∈G\{g(i)} 1 T T X t=1 ait(h) ! ≤ CDT,N,2 p log((G − 1)N) √ T + BT,N,4 log((G − 1)N) T ! .
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16. By Lemma A.2 of Chernozhukov, Chetverikov, and Kato (2014), we thus have P max 1≤i≤N max h∈G\{g(i)} 1 T T X t=1 ait(h) ≥ CDT,N,2 p log((G − 1)N) √ T + BT,N,4 log((G − 1)N) T ! + t ! ≤e−t2/(3(D2 T,N,2/T) + K t2 1 T B2 T,N,4D2 T,N,2, for any t &gt; 0. Taking t = T−(1−c)/2DT,N,2BT,N,4 and arranging the terms, we have P max 1≤i≤N max h∈G\{g(i)} 1 T T X t=1 ait(h) ≥ CDT,N,2BT,N,4T−(1−c)/2 log((G − 1)N) ! ≤ CT−c . We thus have P max 1≤i≤N max h∈G\{g(i)} 1 T T X t=1 ãit(h) &gt; r 2 − r2 16 ! ≤ CT−c , by Assumption (9).
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17. By Lemma A.3 in Chernozhukov, Chetverikov, and Kato (2014) there is a universal constant K such that for C4 = 32K2 βK EP " max 1≤i≤N 1 T T X t=1 (Uit(h, h0 ) − EP [Uit(h, h0 )]) #
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27. Following essentially the same argument as that in Step 1 of the proof of Theorem 4.2 of Chernozhukov, Chetverikov, and Kato (2014) shows that, under Assumptions (8) and (9), P max (i.h)∈J1 √ T( dU i (g0 i , h)) − EP ( dU i (g0 i , h))) σisU i,T (g, h) &gt; cSN (c−1 SN (cSNS βN ,N )) ! ≤ c−1 SN (cSNS βN ,N ) + CT−c .
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37. is therefore a sparse-convex set, as defined in Chernozhukov, Chetverikov, and Kato (2016). Let Zit(h) = dit(h)/(σisi,T (h)).
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41. Lemma E.1 part (iii) and following the same argument of Lemma A.5 of Chernozhukov, Chetverikov, and Kato (2014). Following the argument in the proof of Step 2 of Theorem 4.2 of Chernozhukov, Chetverikov, and Kato (2014) under (8), (9) and that (10) and (11) implies U N,T,2 p log((G − 1)N/β) ≤ CT−1/6, it holds that P max 1≤i≤N max h∈G\{g(i)} √ T(E( dU i (h)) − dU i (h)) S̃U i,T (h) &gt; (1 − r)cSNS β,N − CU N,T,2 ! ≤ β + CT−c . For the second term (34), let ait(h) = 2(dU it(h)−EP (dU it(h)))(EP (dU it(h))−EP ( dU i (h)))/(σisU i,T (h))2. The second term is P max 1≤i≤N max h∈G\{g(i)} 1 T T X t=1 ãit(h) &gt; r 2 − r2 16 ! ≤P max 1≤i≤N max h∈G\{g(i)} 1 T T X t=1 ait(h) &gt; 1 − r 2 r 2 − r2 16 ! + P max 1≤i≤N max h∈G\{g(i)} (S̃U i,T (h))2 (σisU i,T (h))2 − 1 &gt; r 2 ! ,
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51. Proof. (1) In the derivation of the weights (see e.g., Nüesch 1966) the weights correspond to probabilities of events that partition the sample space. To prove the asserted upper bounds use the representation from (4) and write w(p, p, V ) = P(Y2(∅) &gt; 0) ≤1 − P(there is j = 1, . . . , p such that Y2,j(∅) ≤ 0) ≤1 − max j=1,...,p P(Y2,j(∅) ≤ 0) = 1 2 . For the other weights, the bound can be proved in a similar way.
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52. Proof. Applying Theorem 1 in Soms (1976) with n = 2 yields the inequality 1 − Fν(x) ≥ (1 + x2 /ν) 1 − ν (ν + 2)x2 fν(x)/x. Now, x2 &gt; 2 implies 1 − Fν(x) &gt; 1 − 1 2 fν(x)/x. Lemma D.12. Let ξ1, . . . , ξT be independent centered random variables with E(ξ2 t ) = 1 and E(|ξt|2+ν) < ∞ for all 1 ≤ t ≤ T where 0 < ν ≤ 1. Let ST = PT t=1 ξt, V 2 T = PT t=1 ξ2 t and DT,ν = (T−1 PT t=1 E(|ξt|2+ν))1/(2+ν). Then uniformly in 0 ≤ x ≤ Tν/(2(2+ν))/DT,ν, Pr(ST /VT ≥ x) 1 − Φ(x) − 1 ≤ KT−ν/2 D2+ν T,ν (1 + x)2+ν .
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53. Proof. Let Uj ∼ χ2 j , j = 1, . . . , p. For notational convenience, write cN = cQLR α,N (V ). By Lemma D.13, cN is bounded from above by the (1 − α/N)-quantile of Up. Lemma 1 in Laurent and Massart (2000) implies that, for each x ≥ 0, P (Up − p ≥ 2 √ px + 2x) ≤ exp(−x). Suppose that N ≥ N0 ≥ α−1. Choosing x = log(N/α) in the above inequality yields P Up ≥ p + 2 p log(N/α) √ p + p log(N/α) ≤ α N . For N large enough, p + 2 p log(N/α) √ p + p log(N/α) < 2a log(N/α). This establishes the upper bound on cN . Let x = p
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54. Proof. This lemma is first proved by Jing, Shao, and Wang (2003). Here we use the version by Chernozhukov, Chetverikov, and Kato (2014, Lemma A.1), which is based on de la Pena, Lai, and Shao (2009, Theorem 7.4).
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63. This allows us to choose C1G1/2B3 N,T,4 as the sequence of constants in assumption (M.2) in Chernozhukov, Chetverikov, and Kato (2016). Lastly, we verify assumption (E.2) in Chernozhukov, Chetverikov, and Kato (2016). To this end, note that EP " max 1≤i≤N max h∈G\{g0 i } Zit(h)/(G1/4 B3 N,T,4) 4 # ≤ X h∈G EP max 1≤i≤N Zit(h)/(G1/4 B3 N,T,4) 4
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64. This verifies assumption (M.1”) in Chernozhukov, Chetverikov, and Kato (2016). Next, by Hölder’s inequality there is a constant C1 ≥ 1 depending only on Kβ such that 1 T T X i=1 EP [|Zit|3 ] ≤ C B4 N,T,4 3/4 ≤ C1G1/2 B3 N,T,4, 1 T T X i=1 EP [|Zit|4 ] ≤ CB4 N,T,4 ≤ (C1G1/2 B3 N,T,4)2 .
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65. Thus, by Lemma A.3 in Chernozhukov, Chetverikov, and Kato (2014) for a universal constant K EP " max 1≤i≤N 1 T T X t=1 dit(h) σisi,T (h) # ≤ K T−1/2 p log N + 2T−3/4 p KβBN,T,4 log N .
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66. Together with (26) this implies (25). It remains to prove (26). Note that EP [V 2 it ] ≤ B8 N,T,8 and EP [max1≤i≤T max1≤i≤N V 2 it ] ≤ TB8 N,T,8. By Lemma A.3 in Chernozhukov, Chetverikov, and Kato (2014) there is a universal constant K such that EP " max 1≤i≤N 1 T T X t=1 (V 2 it − EP [V 2 it ]) # ≤ KB4 N,T,8 log N √ T .
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67. Vogt, Michael and Matthias Schmid (2017). “Clustering with statistical error control”. In: arXiv preprint arXiv:1702.02643.
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71. where b1 and b2 depend only on κ, τ, a and p̄. As in Zhilova (2015), note that kφik ai = sup γ∈Rpi :kγk=a−1 i γ0 φi. We employ an approximation argument based on the inequality P max 1≤i≤N kφik ai − cN ≤ ≤P max 1≤i≤N max γj∈Γi γ0 jφi − cN ≤ 2 + P max 1≤i≤N sup γ∈Rpi :kγk=a−1 i min γj∈Γi |(γ − γj)0 φi| &gt; ! ≡A1 + A2. To bound A1, note that each γ0 jφi is a normal random variable with standard deviation bounded between ā−1 and a−1. This follows from our assumptions about the covering Γi and E (γ0 jφi)2 = γ0 jE[φiφ0 i]γj = kγjk2 = a−2 i .
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72. where the inequality holds because (S̃U i,T (h))2 ≥ (1−r/2)(σisU i,T (h))2 if 1−(S̃U i,T (h))2/(σisU i,T (h))2 &gt; −r/2. The second term is bounded by CT−c by Lemma A.5 of Chernozhukov, Chetverikov, and Kato (2014) (Note that the statement of Lemma A.5 of Chernozhukov, Chetverikov, and Kato (2014) is about σ̂j/σj (in their notation) but their proof is based on σ̂2 j /σ2 j ). For the first term, observe that T X t=1 EP ((ait(h)/T)2 ) = 1 T2 T X t=1 var(dU it(h)) (σisU i,T (h))4 (EP (dU it(h)) − EP ( dU i (h)))2 ≤ 1 T2 T X t=1 (EP (dU it(h)) − EP ( dU i (h)))2 (σisU i,T (h))2 , and T X t=1 E max 1≤i≤N max h∈G\{g(i)} (ait(h)/T)2 ≤ 1 T2 T X t=1 B2 T,N,4 max 1≤i≤N max h∈G\{g(i)} (EP (dU it(g0 i , h)) − EP ( dU i (g0 i , h)))2 /(σisU i,T (h))2 ≤ 1 T GB2 T,N,4D2 N,T,2.
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73. Zhang, Xinyang and Guang Cheng (2017). “Guassian approximation for high dimensional vector under physical dependence”. In: Bernoulli. forthcoming.
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74. Zhilova, Mayya (2015). “Simultaneous likelihood-based bootstrap confidence sets for a large number of models”. Working paper. Appendix A. Proofs of mains results In the proofs, we drop the g argument for ease of notation and write, e.g., dit(h) instead of dit(g, h) (or dit(g0 i , h)). The g argument is made explicit in the statements of the lemmas. Here, we provide proofs of Theorem 1 – Theorem 3. All supporting lemmas and the proof of Theorem 4 are given in the Supplementary Appendix. For our proof of the QLR procedure we analyze the limiting distribution of the QLR statistic, which we call the χ̃2-distribution. Let V denote a nonsingular covariance matrix, and let X ∼ N(0, V ). The χ̃2(V ) distribution is given by the distribution of the random variable W = min t≤0 (X − t)0 V −1 (X − t).

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18. Monetary policy uncertainty, debt financing cost and real economic activities: Evidence from China. (2022). Li, LI ; Xiang, Jingjie.
    In: International Review of Economics & Finance.
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19. Spectral and post-spectral estimators for grouped panel data models. (2022). Manresa, Elena ; Chetverikov, Denis.
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20. Low-rank Panel Quantile Regression: Estimation and Inference. (2022). Su, Liangjun ; Wang, Yiren ; Zhang, Yichong.
    In: Papers.
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21. Estimation of a Factor-Augmented Linear Model with Applications Using Student Achievement Data. (2022). Muris, Chris ; Lamarche, Carlos ; Harding, Matthew.
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22. Revisiting the literature on the dynamic Environmental Kuznets Curves using a latent structure approach. (2021). Mazzanti, Massimiliano ; Chakraborty, Saptorshee.
    In: SEEDS Working Papers.
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23. Revisiting the literature on the dynamic Environmental Kuznets Curves using a latent structure approach. (2021). Mazzanti, Massimiliano ; Chakraborty, Saptorshee.
    In: Economia Politica: Journal of Analytical and Institutional Economics.
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24. Large-scale generalized linear longitudinal data models with grouped patterns of unobserved heterogeneity. (2021). Bai, Jushan ; Ando, Tomohiro.
    In: MPRA Paper.
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25. Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data. (2021). Koopman, Siem Jan ; Hoogerkamp, Meindert Heres ; van De, Ilka ; Blasques, Francisco.
    In: International Journal of Forecasting.
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26. Detecting groups in large vector autoregressions. (2021). Guðmundsson, Guðmundur ; Brownlees, Christian ; Gumundsson, Gumundur Stefan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:225:y:2021:i:1:p:2-26.

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27. Nonstationary panel models with latent group structures and cross-section dependence. (2021). Su, Liangjun ; Phillips, Peter ; Jin, Sainan ; Huang, Wenxin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:221:y:2021:i:1:p:198-222.

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28. Heterogeneous structural breaks in panel data models. (2021). Okui, Ryo ; Wang, Wendun.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:220:y:2021:i:2:p:447-473.

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29. Identifying latent group structures in nonlinear panels. (2021). Su, Liangjun ; Wang, Wuyi.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:220:y:2021:i:2:p:272-295.

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30. Looking for sustainable development: Socially responsible mutual funds and the low‐carbon economy. (2021). Tortosa-Ausina, Emili ; Matallinsaez, Juan Carlos ; Tortosaausina, Emili ; de Mingolopez, Diego Victor ; Solerdominguez, Amparo.
    In: Business Strategy and the Environment.
    RePEc:bla:bstrat:v:30:y:2021:i:4:p:1751-1766.

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31. Subspace Clustering for Panel Data with Interactive Effects. (2021). Gao, Wei ; Duan, Jiangtao ; Tony, Hon Keung ; Qu, Hao.
    In: Papers.
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32. Testing for overconfidence statistically: A moment inequality approach. (2020). Okui, Ryo ; Jin, Yanchun.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:35:y:2020:i:7:p:879-892.

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33. Celebrating 40 Years of Panel Data Analysis: Past, Present and Future. (2020). Sarafidis, Vasilis ; Wansbeek, Tom.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2020-6.

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34. Social responsible mutual funds and lowcarbon economy. (2020). Tortosa-Ausina, Emili ; Matallin-Saez, Juan Carlos ; de Mingo-Lopez, Diego Victor ; Soler-Dominguez, Amparo.
    In: Working Papers.
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35. Panel threshold models with interactive fixed effects. (2020). Su, Liangjun ; Miao, KE.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:219:y:2020:i:1:p:137-170.

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36. Identification and estimation in panel models with overspecified number of groups. (2020). Zhou, Qiankun ; Shang, Zuofeng ; Zhang, Yonghui ; Liu, Ruiqi.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:215:y:2020:i:2:p:574-590.

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37. Panel threshold regressions with latent group structures. (2020). Su, Liangjun ; Wang, Wendun ; Miao, KE.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:214:y:2020:i:2:p:451-481.

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38. Forecasting with Bayesian Grouped Random Effects in Panel Data. (2020). ZHANG, BOYUAN.
    In: Papers.
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39. Blocked Clusterwise Regression. (2020). Cytrynbaum, Max.
    In: Papers.
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40. Exact Testing of Many Moment Inequalities Against Multiple Violations. (2020). Bekker, Paul ; Koning, Nick.
    In: Papers.
    RePEc:arx:papers:1904.12775.

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41. Variable Selection with Spatially Autoregressive Errors: A Generalized Moments LASSO Estimator. (2019). Bhattacharjee, Arnab ; Maiti, Taps ; Calantone, Roger ; Cai, Liqian.
    In: Sankhya B: The Indian Journal of Statistics.
    RePEc:spr:sankhb:v:81:y:2019:i:1:d:10.1007_s13571-018-0176-z.

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42. Panel Forecasting with Asymmetric Grouping. (2019). Paap, Richard ; Nibbering, Didier.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:119521.

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43. High-dimensional integrative analysis with homogeneity and sparsity recovery. (2019). Yang, Xinfeng ; Huang, Jian.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:174:y:2019:i:c:s0047259x18305165.

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44. Panel data quantile regression with grouped fixed effects. (2019). Volgushev, Stanislav.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:213:y:2019:i:1:p:68-91.

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45. Quantile-regression-based clustering for panel data. (2019). Zhu, Zhongyi ; Zhang, Yingying ; Wang, Huixia Judy.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:213:y:2019:i:1:p:54-67.

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46. Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty. (2019). Babii, Andrii ; Chen, XI ; Ghysels, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:212:y:2019:i:1:p:47-77.

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47. Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity. (2018). Bai, Jushan ; Ando, Tomohiro.
    In: MPRA Paper.
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48. Identification and estimation in panel models with overspecified number of groups. (2018). Zhou, Qiankun ; Zhang, Yonghui ; Liu, Ruiqi ; Schick, Anton ; Shang, Zuofeng.
    In: Departmental Working Papers.
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49. Testing for Overconfidence Statistically: A Moment Inequality Approach. (2018). Okui, Ryo ; Jin, Yanchun.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:984.

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50. Confidence Set for Group Membership. (2018). Okui, Ryo ; Dzemski, Andreas.
    In: Working Papers in Economics.
    RePEc:hhs:gunwpe:0727.

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51. Heterogeneous structural breaks in panel data models. (2018). Okui, Ryo ; Wang, Wendun.
    In: Papers.
    RePEc:arx:papers:1801.04672.

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52. Composite Quasi-Maximum Likelihood Estimation of Dynamic Panels with Group-Specific Heterogeneity and Spatially Dependent Errors. (2017). Chu, Ba.
    In: MPRA Paper.
    RePEc:pra:mprapa:79709.

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53. Discovering pervasive and non-pervasive common cycles. (2017). Real, Guillermo Carlomagno ; Terrades, Antoni Espasa.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:25392.

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54. Discretizing Unobserved Heterogeneity. (2016). Lamadon, Thibaut ; Bonhomme, Stéphane ; Manresa, Elena.
    In: 2016 Meeting Papers.
    RePEc:red:sed016:1536.

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55. Panel Data with Cross-Sectional Dependence Characterized by a Multi-Level Factor Structure. (2016). Rodriguez Caballero, Carlos ; Rodriguez-Caballero, Carlos Vladimir.
    In: CREATES Research Papers.
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