Before revision:  We illustrate our methods with applications to effects of U.S. neighborhoods on intergenerational mobility, and structural changes in factor loadings in a large dynamic factor model for the Eurozone . Our approach generalizes to the construction of intervals with average coverage guarantees in other regularized estimation settings .
After revision:  We illustrate our methods with applications to effects of U.S. neighborhoods on intergenerational mobility, and structural changes in factor loadings in a large dynamic factor model for the Eurozone .