A Neyman-orthogonal moment estimator with adjusted nonparametric fixed effects achieves root-NT asymptotic normality for common parameters in two-way heterogeneous panel models.
Fixed Effects Estimation of Large-T Panel Data Models
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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.
- (Debiased) Inference for Fixed Effects Estimators with Three-Dimensional Panel and Network Data