Bias reduction in nonlinear and dynamic panels in the presence of cross-section dependence
横截面依赖下非线性与动态面板的偏差修正
Fixed effects estimation of nonlinear dynamic panel models is subject to the incidental parameter issue, leading to a biased asymptotic distribution. While this problem has been studied extensively in the literature, a general analysis allowing for both serial and cross-sectional dependence is missing. In this paper we investigate the large-N,T theory of the profile and integrated likelihood estimators, allowing for dependence across both dimensions. We show that under…