Juodis, Artūras; Sarafidis, Vasilis - In: SERIEs : Journal of the Spanish Economic Association 14 (2023) 3/4, pp. 435-461
misspecified Random effects Maximum Likelihood (mRML) estimators when T is either fixed or large, and N tends to infinity. We show … that in the unit-root case, for any fixed value of T, the log-likelihood function of the mRML estimator has a single mode … at unity as . Furthermore, the Hessian matrix of the corresponding log-likelihood function is non-singular, unless the …