Dhaene, Geert; Weidner, Martin - In: SERIEs - Journal of the Spanish Economic Association 14 (2023) 3/4, pp. 379-416
Inference on common parameters in panel data models with individual-specific fixed effects is a classic example of 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,...
