Questions tagged [incidental-parameters]

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Incidental Parameters and Poisson Regression

Consider: $\ln(E[Y|X])=X_{it}'\beta+\alpha_i$ and thus $E[Y|X]=e^{X_{it}'\beta+\alpha_i}$. We can write this regression model as: $$Y_{it} =e^{X_{it}'\beta+\alpha_i}\eta_{it} $$ For which the ...