Panel data models can help us account for differences between individuals and over time. By using fixed effects, we can estimate these differences, but this can lead to the incidental parameters problem. This problem is discussed in a dynamic panel model, showing how it affects estimation. The Nickell bias is explained, and different results are explored for stationary and nonstationary panels. Time effects are also considered, showing how they interact with individual effects. Nonlinear panels with incidental parameters have been studied by other researchers.