1
$\begingroup$

What does it mean to say "incidental parameter bias due to correlation between past realizations of the data and the unobserved heterogeneity (diverse characteristics)"? How can there be a correlation with diverse characteristics?

My question comes from trying to understand the first paragraph of the abstract of

FOUR ESSAYS ON DYNAMIC PANEL MODELS by Charles Saunders

A thesis submitted to the Faculty of Graduate and Postdoctoral Affairs in partial fulfillment of the requirements for the degree of Doctor of Philosophy

"Dynamic panel data models can suffer greatly from incidental parameter bias due to correlation between past realizations of the data and the unobserved heterogeneity, and this bias is a function of included regressors."

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.