Maximum Likelihood Estimation in Panels with Incidental Trends
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. Copyright 1999 by Blackwell Publishing Ltd
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Volume (Year): 61 (1999)
Issue (Month): 0 (Special Issue Nov.)
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