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 datadependent, properly reflects the model complexity arising from the presence of incidental parameters. A …

invariant statistic whose density does not depend on incidental parameters. It is natural to consider a likelihood ratio test … the incidental parameters. That invariant distribution is least favorable and leads to minimax optimality properties …