Before revision:  Motivated by a stylized heterogeneous firms model of international trade with market entry costs, we propose new bias-corrected dynamic binary choice estimators with three sets of high-dimensional fixed effects .
After revision:  Motivated by a stylized heterogeneous firms model of international trade with market entry costs, we consider dynamic three-way fixed effects binary choice models and study the corresponding incidental parameter problem. The standard maximum likelihood estimator is consistent under asymptotics where all panel dimensions grow at a constant rate, but it has an asymptotic bias in its limiting distribution, invalidating inference even in situations where the bias appears to be small. Thus, we propose two different bias-corrected estimators .