Maximum Likelihood Estimation in Panels with Incidental Trends
Hyungsik Moon () and
Peter Phillips ()
No 1246, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University
It is shown that the maximum likelihood estimator of a local to unity parameter can be consistently estimated with panel data when the cross section observations are independent. Consistency applies when there are no deterministic trends or when there is a homogeneous deterministic trend in the panel model. When there are heterogeneous deterministic trends the panel MLE of the local to unity parameter is inconsistent. This outcome provides a new instance of inconsistent ML estimation in dynamic panels, and, unlike earlier results of this type, applies when both T approaches infinity and N approaches infinity.
Keywords: Deterministic trends; dynamic panels; incidental parameters; inconsistent maximum likelihood estimator; local to unity; nonstationary panel data (search for similar items in EconPapers)
JEL-codes: C32 C33 (search for similar items in EconPapers)
Note: CFP 999.
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Published in Oxford Bulletin of Economics and Statistics, Special Issue (1999), 61: 711-747
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Journal Article: Maximum Likelihood Estimation in Panels with Incidental Trends (1999)
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