cquad_basic: Conditional maximum likelihood estimation of the basic...

In cquad: Conditional Maximum Likelihood for Quadratic Exponential Models for Binary Panel Data

Conditional maximum likelihood estimation of the basic quadratic exponential model

Description

Fit by conditional maximum likelihood a simplified version of the model for binary longitudinal data proposed by Bartolucci & Nigro (2010); see also Cox (1972).

Usage

cquad_basic(id, yv, X = NULL, be = NULL, w = rep(1, n), dyn =
FALSE, Ttol=10)

Arguments

id	list of the reference unit of each observation
yv	corresponding vector of response variables
X	corresponding matrix of covariates (optional)
be	initial vector of parameters (optional)
w	vector of weights (optional)
dyn	TRUE if in the dynamic version; FALSE for the static version (by default)
Ttol	Threshold individual observations that activates the recursive algorithm (default=10)

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

Author(s)

Francesco Bartolucci (University of Perugia), Claudia Pigini (University of Ancona "Politecnica delle Marche"), Francesco Valentini (University of Ancona "Politecnica delle Marche")

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.

Cox, D. R. (1972), The Analysis of multivariate binary data, Applied Statistics, 21, 113-120.

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
out1 = cquad_basic(id,yv,X,Ttol=10)
summary(out1)
# dynamic model
out2 = cquad_basic(id,yv,X,dyn=TRUE,Ttol=10)
summary(out2)

cquad documentation built on March 7, 2023, 6:15 p.m.