Observations in a dataset are rarely missing at random. One can control for this non-random selection of the data by introducing fixed effects or other nuisance parameters. This chapter deals with consistent estimation the presence of many nuisance parameters. It derives a new orthogonality concept that gives sufficient conditions for consistent estimation of the parameters of interest. It also shows how this orthogonality concept can be used to derive and compare estimators. The chapter then shows how to use the orthogonality concept to derive estimators for unbalanced panels and incomplete data sets (missing data).