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Yes, the overall setting for Mockingjay is Panem, a post-apocalyptic North America. In the novel, much of the action revolves around the Capitol, District 2, 8, 12, and 13.
As the novel begins, Katniss, Prim, and their friends are refugees adjusting to life in District 13. Although Katniss is grateful for District 13's hospitality, she is resentful that it had a part to play in District 12's destruction. The early chapters of the novel have Katniss visiting District 12 to survey the ashes of her home base and then returning to her new life in District 13. District 13 is built almost entirely underground, and life is extremely regimented there. Katniss finds herself fascinated with what she considers the only thing of beauty in District 13: a glass-enclosed environment that replicates a meadow, filled "with real trees and flowering plants, and alive with hummingbirds."
Meanwhile, as the Mockingjay, she continues to plot the logistics of future rebel actions from District 13. Katniss and her friends plan to overpower all of the thirteen districts in Panem, ending with District 2 (the Capitol's supply base). District 2 manufactures weapons of war for the Capitol and supplies it with trained Peacekeepers. Once the districts are overthrown, the rebel forces plan to take over the Capitol.
As a setting, District 2 is unique in that it is known for its impenetrable mountain fortress (the Nut), which houses the Capitol's military resources. One gets the idea that not much differs ideologically between District 2 and 13. Both are committed to the Capitol and supportive of its tyrannical causes. District 2 may represent the heart of the Capitol's military power, but District 13 is ruthless in its persecution of those who fail to live up to its expectations. In the story, Katniss discovers her previous prep team trapped on Level 39 in District 13, brutalized and shackled to the wall. District 2 is also the setting for a major rebel battle against Capitol forces.
In the book, Katniss visits District 8, where Capitol forces have just bombed a hospital full of men, women, and children. There are no survivors. Katniss stands amid the ruins while she films a rebel propaganda video, begging the people of District 8 and the rebel forces to reconsider any ceasefire with the Capitol.
Meanwhile, District 13 is the setting for the Capitol's bombing raids. It is Peeta who warns the rebels that the Capitol is planning a bombing campaign on the district. The goal is to drive the rebels underground so that Katniss is less visible as the Mockingjay, the leader and face of the rebel movement. Throughout the rest of the book, the setting alternates between District 13, the Capitol, and District 12, where Katniss ultimately returns after killing Alma Coin, the president of District 13.
The setting in Mockingjay by Suzanne Collins on a broad scale is Panem, a futuristic country centered across the long-ruined remains of the United States. Panem is comprised of twelve districts and a Capitol, which rules over the outlying districts harshly because of a poorly staged rebellion that happened more than seventy years ago.
In Mockingjay, the districts rebel against the Capitol, and the setting of the novel shifts to follow the action as the main characters move in battle. The novel opens with Katniss Everdeen, once dubbed 'the girl on fire' from the Hunger Games, sifting through the bombed-out wreckage of her home, District 12.
The action also leads Katniss to District 13, the vast underground city that has challenged the authority of President Snow and the Capitol. District 13 is one of the most novel settings in Mockingjay. Built entirely underground, the district has streamlined its citizens' lives; schedules, activities, clothing, and diet are extremely uniform and regulated. Katniss comments:
"They're so frugal with things here, waste is practically a criminal activity" (18).
Even though Katniss finds this environment stifling, District 13 is free from the Hunger Games and the cruelty of President Snow, so her new home offers the hope of the kind of freedom that all the districts could enjoy if their rebellion against the Capitol proves successful.
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