A Neyman-orthogonal moment estimator with adjusted nonparametric fixed effects achieves root-NT asymptotic normality for common parameters in two-way heterogeneous panel models.
Identification of a nonparametric panel data model with unobserved heterogeneity and lagged dependent variables
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Inference on Linear Regressions with Two-Way Unobserved Heterogeneity
A Neyman-orthogonal moment estimator with adjusted nonparametric fixed effects achieves root-NT asymptotic normality for common parameters in two-way heterogeneous panel models.