heterogeneity as additional (incidental) parameters to be estimated. The properties of hat-beta_JML are also non-standard due to a …

heterogeneity as additional (incidental) parameters to be estimated. The properties of hat-beta_JML are also non-standard due to a …

whether one or both of these effects are present. A large number of incidental parameters exist under the joint modeling. The … paper demonstrates that the quasi-MLE is effective in dealing with the incidental parameters problem. An inferential theory …

large T setting involves incidental parameters because the number of parameters (including the time effects, the factor … show that there is no incidental parameters bias to affect the limiting distributions; the estimator is centered at zero … fixed and large T, despite non-normality, heteroskedasticity, and incidental parameters. Finally we develop a feasible and …

We consider the incidental parameters problem in this paper, i.e. the estimation for a small number of parameters of …

This paper considers model selection in nonlinear panel data models where incidental parameters or large … structure involving parameters that are common within the panel after concentrating out the incidental parameters. It is well … penalty, which is data-dependent, properly reflects the model complexity arising from the presence of incidental parameters. A …

stratum-specific intercepts. The bias is free of incidental parameters. Centering the profile score delivers an unbiased …

stratum-specific intercepts. The bias is free of incidental parameters. Centering the profile score delivers an unbiased …