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.
Moon, Hyungsik Roger and Phillips, Peter C.B., "Maximum Likelihood Estimation in Panels with Incidental Trends" (1999). Cowles Foundation Discussion Papers. 1496.