Following Lancaster (2002), we propose a strategy to solve the incidental parameter problem. The method is demonstrated … unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental … parameter problem when the model is stationary with strictly exogenous regressors. MCMC algorithms are developed for parameter …

Following Lancaster (2002), we propose a strategy to solve the incidental parameter problem. The method is demonstrated … unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental … parameter problem when the model is stationary with strictly exogenous regressors. MCMC algorithms are developed for parameter …

equivalent to the least absolute deviations estimator of the differenced model, and as a consequence, there is no incidental … parameter problem. …