Because of the individual-speci c xed e ects, the total number of parameters in the models with
xed e ects equals the number of individuals plus the dimension of the common parameters. When the
number of individuals (N ) goes to the intinity and the time-series dimension (T ) is xed, the maximum
likelihood estimator (MLE) typically results in inconsistent estimates of the common parameter of
interest (Neyman and Scott (1948)).
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