We propose a bias correction method for nonlinear models with both individual and time effects. Under the presence of the incidental parameter problem, the maximum likelihood estimator derived from such models may be severely biased. Our method produces an approximation to an infeasible...

We consider a class of vector nonlinear error correction models where the transfer function (or loadings) of the stationary relationships is nonlinear. This includes in particular the smooth transition models. A general representation theorem is given which establishes the dynamic properties of...