First-differencing in panel data models with incidental functions

DOI10.1111/ECTJ.12035MaRDI QIDQ5093241zbMATH OpenOpenAlexFDO

Authors Koen Jochmans

Publication date 26 July 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL http://spire.sciencespo.fr/hdl:/2441/eu4vqp9ompqllr09ij4j7acrh/resources/localgmm.pdf

zbMATH Keywords

local differencingnuisance functionpanel data

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(4)

• The incidental parameter problem in a non-differentiable panel data model
• Functional differencing
• PANEL DATA HEDONICS: ROSEN'S FIRST STAGE AS A “SUFFICIENT STATISTIC”
• First-differenced inference for panel factor series

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