Show Summary Details

Page of

PRINTED FROM OXFORD HANDBOOKS ONLINE ( © Oxford University Press, 2018. All Rights Reserved. Under the terms of the licence agreement, an individual user may print out a PDF of a single chapter of a title in Oxford Handbooks Online for personal use (for details see Privacy Policy and Legal Notice).

date: 26 February 2020

Abstract and Keywords

This chapter considers the role of incidental parameters in capturing idiosyncratic features of individual entities within a panel and their influence on econometric estimation and inference. While incidental parameters relate to a single cross-section observation, their presence affects maximum likelihood estimates of other parameters of interest and can even result in inconsistency. The chapter discusses incidental parameter problems in the context of a prototype dynamic panel regression model under different assumptions on the size of the panel. It explores the effects on estimation and inference regarding the common panel regression coefficients of different specifications of the incidental parameters for the individual effects and time effects.

Keywords: panel data, incidental parameters, econometrics, econometric estimation, econometric inference

Access to the complete content on Oxford Handbooks Online requires a subscription or purchase. Public users are able to search the site and view the abstracts and keywords for each book and chapter without a subscription.

Please subscribe or login to access full text content.

If you have purchased a print title that contains an access token, please see the token for information about how to register your code.

For questions on access or troubleshooting, please check our FAQs, and if you can''t find the answer there, please contact us.