Abstract Inference on common parameters in panel data models with individual-specific fixed effects is a classic example of Neyman and Scott’s (Econometrica 36:1–32, 1948) incidental parameter problem (IPP). One solution to this IPP functional differencing (Bonhomme Econometrica 80(4):1337–1385, 2012), which works when the number time periods T (and may be small), but not applicable all interes...