Neyman and Scott (1948) have noticed this problem in statistics and econometrics more than 50 years ago and their paper titled 'Consistent estimates based on partially consistent observations' was published in Econometrica. It incites researches over this topic in both economics and other natural science subjects, besides Bayesian and Conditional frequentist approach developed in Statistics literature. Lancaster reviewed the development up to 2000 and cast new insight into this problem.
Consistent Estimates Based on Partially Consistent Observations
J. Neyman and Elizabeth L. Scott
Econometrica, Vol. 16, No. 1 (Jan., 1948), pp. 1-32
The incidental parameter problem since 1948
Tony Lancaster
Journal of EconometricsVolume 95, Issue 2, April 2000, Pages 391-413
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Thursday, April 30, 2009
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