help cquadpseudoralso see: clogit, cquadbasicr, cquadextr

Title

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

Syntax

cquadpseudor id depvar [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

PCML estimator for dynamic logit model

. cquadpseudor idcode union age grade

Saved results

cquadpseudor saves the following in matrix list return matrix list:

Matrices

matrix list r(coefficients) coefficient vector

matrix list r(ser_ps) standard errors

matrix list r(serr_ps) first-step robust standard errors

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

matrix list r(vcov_ps) 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.

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.

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