Following Lancaster (2002), we propose a strategy to solve the incidental parameter problem. The method is demonstrated … parameter problem when the model is stationary with strictly exogenous regressors. MCMC algorithms are developed for parameter … 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. … equivalent to the least absolute deviations estimator of the differenced model, and as a consequence, there is no incidental …