Panel data models with nonadditive unobserved heterogeneity: Estimation and inference
含非加性不可观测异质性的面板模型：估计与推断
This paper considers fixed effects estimation and inference in linear and nonlinear panel data models with random coefficients and endogenous regressors. The quantities of interest—means, variances, and other moments of the random coefficients—are estimated by cross sectional sample moments of generalized method of moments (GMM) estimators applied separately to the time series of each individual. To deal with the incidental parameter problem introduced by the noise of the…