2 papers
econ.EM2026
The Projection Solution to the Incidental Parameter Problem
Andrew Chesher, Adam M. Rosen, Yuanqi Zhang
This paper introduces a new approach to econometric analysis of nonlinear panel data models when the number of observations per observational unit is small. In such models the pres…
econ.EM2024
Robust Analysis of Short Panels
Andrew Chesher, Adam M. Rosen, Yuanqi Zhang
Many structural econometric models include latent variables on whose probability distributions one may wish to place minimal restrictions. Leading examples in panel data models are…