Dhaene, Geert; Weidner, Martin - In: SERIEs - Journal of the Spanish Economic Association 14 (2023) 3/4, pp. 379-416
, we provide an approximate version of functional differencing, that is, an approximate solution to the IPP that is … Neyman and Scott's (Econometrica 36:1-32, 1948) incidental parameter problem (IPP). One solution to this IPP is functional … differencing (Bonhomme in Econometrica 80(4):1337-1385, 2012), which works when the number of time periods T is fixed (and may be …
