EconPapers    
Economics at your fingertips  
 

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

Abstract: 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)
Date: 1999-12
Note: CFP 999.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18) Track citations by RSS feed

Published in Oxford Bulletin of Economics and Statistics, Special Issue (1999), 61: 711-747

Downloads: (external link)
http://cowles.yale.edu/sites/default/files/files/pub/d12/d1246.pdf (application/pdf)

Related works:
Journal Article: Maximum Likelihood Estimation in Panels with Incidental Trends (1999) Downloads
Working Paper: Maximum Likelihood Estimation in Panels with Incidental Trends (1999) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1246

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Matthew Regan ().

 
Page updated 2019-09-14
Handle: RePEc:cwl:cwldpp:1246