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I have been taught that including fixed/random effects in a dynamic panel model yields inconsistent estimates when using OLS and hence motivates the usage of other estimation methods.

However, does this also apply to the inclusion of a constant term, i.e. an intercept?

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  • $\begingroup$ By “dynamic” you are referring to the presence of lagged dependent variable(s)? Correct? $\endgroup$
    – Thomas Bilach
    Nov 17, 2020 at 6:29
  • $\begingroup$ Yes, exactly @ThomasBilach. $\endgroup$
    – shenflow
    Nov 17, 2020 at 6:54

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