help cquadbasicralso see: clogit, cquadequr, cquadextr

Title

cquadbasicr -- Conditional maximum likelihood estimation for a (simplified)
version of the quadratic exponential model by Bartolucci and Nigro (2010)

Syntax

cquadbasicr id depvar [indepvars]

Description

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

For a vector y_i of T observations (y_,...,y_) for unit i, the model is based on the assumption:

p(y_i) exp[(y_x_ + ... + y_x_)'beta + (y_y_ + ... + y_y_)gamma]

where x_ is a column vector of covariates and the first observation is taken as initial condition
The function can be also used with unbalanced panel data.

id (compulsory) is the list of the reference unit of each observation

Examples

Setup

. webuse union

Fit (simplified) quadratic exponential model

. cquadbasicr idcode union age grade

Saved results

cquadbasicr saves the following in matrix list return matrix list:

Matrices

matrix list r(coefficients) coefficient vector

matrix list r(ser) standard errors

matrix list r(serr) robust standard errors

matrix list r(He) Hessian matrix of the conditional likelihood function

matrix list r(vcov) coefficients covariance matrix

Authors

Francesco Bartolucci

Department of Economics, University of Perugia

Perugia, Italy

francesco.bartolucci@unipg.it

Claudia Pigini

Department of Economics and Social Science, Marche Polytechnic University

Ancona, Italy

c.pigini@univpm.it

Francesco Valentini

Department of Economics and Social Science, Marche Polytechnic University

Ancona, Italy

f.valentini@pm.univpm.it

References

Bartolucci, F. & 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.

cquadr User guide. https://github.com/fravale/cquadr/blob/master/cquadr-guide.pdf