cquad: An R and Stata Package for Conditional Maximum Likelihood Estimation of Dynamic Binary Panel Data Models

Bartolucci, Francesco and Pigini, Claudia (2015): cquad: An R and Stata Package for Conditional Maximum Likelihood Estimation of Dynamic Binary Panel Data Models.

Abstract

We illustrate R package cquad for conditional maximum likelihood estimation of the quadratic exponential (QE) model proposed by Bartolucci and Nigro (2010) for the analysis of binary panel data. The package also allows us to estimate certain modified versions of the QE model, which are based on alternative parametrizations, and it includes a function for the pseudo conditional likelihood estimation of the dynamic logit model, as proposed by Bartolucci and Nigro (2012). We also illustrate a reduced version of this package that is available in Stata. The use of the main functions of this package is based on examples using labor market data.

• Item Type: MPRA Paper
• Language: English
• Keywords: dynamic logit model, pseudo maximum likelihood estimation, quadratic exponential model, state-dependence
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C23 - Panel Data Models ; Spatio-temporal Models; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation

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