cquad_pseudo: Pseudo conditional maximum likelihood estimation of the...

Description Usage Arguments Value Author(s) References Examples

View source: R/cquad_pseudo.R

Description

Estimate the dynamic logit model for binary logitudinal data by the pseudo conditional maximum likelihood method proposed by Bartolucci & Nigro (2012).

Usage

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

intial vector of parameters (optional)

w

vector of weights (optional)

Ttol

Treshold 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

se2

robust standard errors that also take into account the first step

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, 719-733.

Bartolucci, F. and Nigro, V. (2012), Pseudo conditional maximum likelihood estimation of the dynamic logit model for binary panel data, Journal of Econometrics, 170, 102-116.

Examples

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## Not run: 
# 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)
# estimate dynmic logit model
out = cquad_pseudo(id,yv,X, Ttol=10)
summary(out)

## End(Not run)

cquad documentation built on Oct. 23, 2020, 7:55 p.m.