cquad (version 1.3)

cquad_ext: Conditional maximum likelihood estimation of the quadratic exponential model for panel data

Description

Fit by conditional maximum likelihood the model for binary logitudinal data proposed by Bartolucci & Nigro (2010).

Usage

cquad_ext(id, yv, X = NULL, be = NULL, w = rep(1, n))

Arguments

id

list of the reference unit of each observation

yv

corresponding vector of response variables

X

corresponding matrix of covariates (optional)

be

intial vector of parameters (optional)

w

vector of weights (optional)

Value

formula

formula defining the model

lk

conditional log-likelihood value

coefficients

estimate of the regression parameters (including for the lag-response)

vcov

asymptotic variance-covariance matrix for the parameter estimates

scv

matrix of individual scores

J

Hessian of the log-likelihood function

se

standard errors

ser

robust standard errors

Tv

number of time occasions for each unit

References

Bartolucci, F. and Nigro, V. (2010), A dynamic model for binary panel data with unobserved heterogeneity admitting a root-n consistent conditional estimator. Econometrica, 78, pp. 719-733.

Examples

# example based on simulated data
data(data_sim)
data_sim = data_sim[1:500,]   # to speed up the example, remove otherwise
id = data_sim$id; yv = data_sim$y; X = cbind(X1=data_sim$X1,X2=data_sim$X2)
# static model
out = cquad_ext(id,yv,X)
summary(out)