cquad_basic {cquad} | R Documentation |
Conditional maximum likelihood estimation of the basic quadratic exponential model
Description
Fit by conditional maximum likelihood a simplified version of the model for binary longitudinal data proposed by Bartolucci & Nigro (2010); see also Cox (1972).
Usage
cquad_basic(id, yv, X = NULL, be = NULL, w = rep(1, n), dyn =
FALSE, 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 |
initial vector of parameters (optional) |
w |
vector of weights (optional) |
dyn |
TRUE if in the dynamic version; FALSE for the static version (by default) |
Ttol |
Threshold 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 |
ser |
robust standard errors |
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, pp. 719-733.
Cox, D. R. (1972), The Analysis of multivariate binary data, Applied Statistics, 21, 113-120.
Examples
# 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)
# static model
out1 = cquad_basic(id,yv,X,Ttol=10)
summary(out1)
# dynamic model
out2 = cquad_basic(id,yv,X,dyn=TRUE,Ttol=10)
summary(out2)