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KuyaMoHirowo (talk | contribs) m Fixed lint errors: missing end tag |
Updated link for robust standard errors to existing article. Justification for change: Wooldridge and other econometrics textbooks such as Greene advocate for the use of heteroskedastic-consistent standard errors for inference about standard errors of parameter estimates in earlier chapters of the same text(s). HC-standard errors are not the only way to estimate standard errors. One could bootstrap them as well--this can help to reduce reliance on only Wooldridge for the article. |
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==Description==
Concretely, partial likelihood estimation uses the product of conditional densities as the density of the joint conditional distribution. This generality facilitates [[maximum likelihood]] methods in panel data setting because fully specifying conditional distribution of ''y<sub>i</sub>'' can be computationally demanding.<ref name= "Woolridge">Wooldridge, J.M., Econometric Analysis of Cross Section and Panel Data, MIT Press, Cambridge, Mass.</ref> On the other hand, allowing for misspecification generally results in violation of information equality and thus requires
In the following exposition, we follow the treatment in Wooldridge.<ref name= "Woolridge" /> Particularly, the asymptotic derivation is done under fixed-T, growing-N setting.
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