Maximum likelihood estimation in panels with incidental trends

Hyungsik R. Moon, Peter C.B. Phillips

Research output: Contribution to journalArticle

17 Citations (Scopus)

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 → ∞ and N → ∞.

Original languageEnglish
Pages (from-to)711-732
Number of pages22
JournalOxford Bulletin of Economics and Statistics
Volume61
Issue numberSUPPL.
Publication statusPublished - 1999 Nov 1

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All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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