help cquadextralso see: clogit, cquadbasicr, cquadequr

Title

cquadext -- Conditional maximum likelihood estimation of the quadratic exponential model by Bartolucci and Nigro (2010)

Syntax

cquadextr id depvar [indepvars]

Description

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

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_)'beta1 + y_(phi+x_'beta2)
+(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

phi is indicated by diff-int in the output

beta is indicated by diff-cov1... in the output

Examples

Setup

. webuse union

Fit quadratic exponential model

. cquadextr idcode union age grade

Saved results

cquadextr 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.

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