R: Interface for functions fitting different versions of cquad
cquad
R Documentation
Interface for functions fitting different versions of cquad
Description
Fit by conditional maximum likelihood each of the models in cquad package.
Usage
cquad(formula, data, index = NULL, model = c("basic","equal","extended","pseudo"),
w = rep(1, n), dyn = FALSE)
Arguments
formula
formula with the same sintax as in plm package
data
data.frame or pdata.frame
index
to denote panel structure as in plm package
model
type of model = "basic", "equal", "extended", "pseudo"
w
vector of weights (optional)
dyn
TRUE if in the dynamic version; FALSE for the static version (by default)
Value
formula
formula defining the model
lk
conditional log-likelihood value
coefficients
estimate of the regression parameters
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")
Examples
# example based on simulated data
data(data_sim)
data_sim = data_sim[1:500,] # to speed up the example, remove otherwise
# basic (static) model
out1 = cquad(y~X1+X2,data_sim,100)
summary(out1)
# basic (dynamic) model
out2 = cquad(y~X1+X2,data_sim,100,dyn=TRUE)
summary(out2)
# equal model
out3 = cquad(y~X1+X2,data_sim,100,model="equal")
summary(out3)
# extended model
out4 = cquad(y~X1+X2,data_sim,100,model="extended")
summary(out4)
# psuedo CML for dynamic model
out5 = cquad(y~X1+X2,data_sim,100,model="pseudo")
summary(out5)