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  • Search: subject:"inconsistent maximum likelihood estimator"
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Year of publication
Subject
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Deterministic trends 1 dynamic panels 1 incidental parameters 1 inconsistent maximum likelihood estimator 1 local to unity 1 nonstationary panel data 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Moon, Hyungsik R. 1 Phillips, Peter C.B. 1
Institution
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Cowles Foundation for Research in Economics, Yale University 1
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Cowles Foundation Discussion Papers 1
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RePEc 1
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Maximum Likelihood Estimation in Panels with Incidental Trends
Moon, Hyungsik R.; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1999
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...
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