This paper extends the partially adaptive method Phillips (1994) provided for linear models to nonlinear models. Asymptotic results are established under conditions general enough they cover both cross-sectional and time series applications. The sampling efficiency of the new estimator is...

This article shows that the presence of incidental parameters in Baltagi and Griffin's (International Economic Review, 29 (1988), 745-53) generalized error-components model implies there is no guarantee feasible and true GLS estimators have the same asymptotic distribution. The article then...