Debiased Inference for Dynamic Nonlinear Panels with Multi-dimensional Heterogeneities
多维异质性动态非线性面板的去偏推断
We introduce a generic class of dynamic nonlinear heterogeneous parameter models that incorporate individual and time fixed effects in both the intercept and slope. These models are subject to the incidental parameter problem, in that the limiting distribution of the point estimator is not centered at zero, and that test statistics do not follow their standard asymptotic distributions as in the absence of the fixed effects. To address the problem, we develop an analytical…