help cquadpseudoalso see: clogit, cquadbasic, cquadext

Title

cquadpseudo -- Pseudo conditional maximum likelihood estimation of the dynamic logit model
(Bartolucci and Nigro, 2012)

Syntax

cquadpseudo depvar id [indepvars]

Description

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

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

p(y_) exp(y_x_'beta + 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

. cquadpseudo union idcode age grade

Saved results

cquadpseudo saves the following in e():

Scalars

e(lk) final conditional log-likelihood

Macros

e(cmd) cquadpseudo

Matrices

e(be) coefficient vector

e(se) standard errors

e(ser) robust standard errors

e(tstat) t-statistics based on robust standard errors

e(pv) p-values

Author

Francesco Bartolucci

Department of Economics, University of Perugia

Perugia, Italy

bart@stat.unipg.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.

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