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 homogenous deterministic trend in the panel model.

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Year of publication:	1999
Authors:	Moon, H.R. ; Phillips, P.C.B.
Subject:	TIME SERIES \| ECONOMETRICS \| REGRESSION ANALYSIS

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Type of publication:	Book / Working Paper
Notes:	30 pages
Classification:	C32 - Time-Series Models ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005245527