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Persistent link: https://www.econbiz.de/10011707035
We introduce a second-order correction technique for nonlinear fixed-effect models exposed to the incidental parameter problem. This technique produces a bias-corrected log-likelihood function that possesses a bias only to the order (in expectation) of O (T-3) where T is the number of time...
Persistent link: https://www.econbiz.de/10012991806