We study a nonlinear panel data model in which the fixed effects are assumed to have finite support. The fixed effects estimator is known to have the incidental parameters problem. We contribute to the literature by making a qualitative observation that the incidental parameters problem in this...

This paper studies the statistical properties of vector autoregressions (VAR's) for quite general multiple time series which are integrated processes of order one. Functional central limit theorems are given for multivariate partial sums of weakly dependent innovations and these are applied to...