Neyman and Scott (1948) define the incidental parameter problem. In panel data with T observations per individual and unobservable individual-specific effects, the inconsistency of the maximum likelihood estimator of the common parameters is in general of the order 1/T. This paper considers the...

Neyman and Scott (1948) define the incidental parameter problem. In panel data with T observations per individual and unobservable individual-specific effects, the maximum likelihood estimator of the common parameters is in general inconsistent. This paper develops the integrated moment...

We reconsider the efficiency bound for the semi-parametric Mixed Proportional Hazard (MPH) model with parametric baseline hazard and regression function. This bound was first derived by Hahn (1994). One of his results is that if the baseline hazard is Weibull, the efficiency bound is singular,...