CQUAD: Stata module to perform conditional maximum likelihood estimation of quadratic exponential models

Francesco Bartolucci

Statistical Software Components from Boston College Department of Economics

Abstract: This module estimates, by conditional maximum likelihood, the quadratic exponential model proposed by Bartolucci & Nigro (2010, Econometrica) and a simplified and a modified version of this model. The quadratic exponential model is suitable for the analysis of binary longitudinal data when state dependence (further to the effect of the covariates and a time-fixed individual intercept) has to be taken into account. Therefore, this is an alternative to the dynamic logit model having the advantage of easily allowing conditional inference in order to eliminate the individual intercepts and then getting consistent estimates of the parameters of main interest (for the covariates and the lagged response). The simplified version of this model does not distinguish, as the original model does, between the last time occasion and the previous occasions. The modified version formulates in a different way the interaction terms and it may be used to test in a easy way state dependence as shown in Bartolucci, Nigro & Pigini (2013, MPRA 48233). The package also includes estimation of the dynamic logit model by a pseudo conditional estimator based on the quadratic exponential model, as proposed by Bartolucci & Nigro (2012, J. Econometrics).

Language: Stata
Requires: Stata version 11
Keywords: quadratic; exponential; maximum likelihood; longitudinal; state dependence (search for similar items in EconPapers)
Date: 2014-08-19, Revised 2015-07-25
Note: This module should be installed from within Stata by typing "ssc install cquad". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/c/cquadbasic.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cquadequ.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cquadext.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cquadpseudo.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cquadbasic.sthlp program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cquadpseudo.sthlp program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cquadequ.sthlp program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cquadext.sthlp program code (text/plain)

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