under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is … unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental … in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter …

Hong and Kao (2004) proposed a panel data test for serial correlation of unknown form. However, their test is …'s (2011) time series test for serial correlation to the panel data case in the framework proposed by Hong and Kao (2004). Our …