Hahn, Jinyong; Kuersteiner, Guido - In: Econometric Theory 27 (2011) 06, pp. 1152-1191
The fixed effects estimator of panel models can be severely biased because of well-known incidental parameter problems. It is shown that this bias can be reduced in nonlinear dynamic panel models. We consider asymptotics where <italic>n</italic> and <italic>T</italic> grow at the same rate as an approximation that facilitates...