Maximum Likelihood Estimation in Panels with Incidental Trends
证明，当截面观测独立时，面板数据中局部单位根参数的最大似然估计量可以一致估计，但存在异质确定性趋势时则不一致，为动态面板中ML估计不一致提供了新实例。
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.