R package for fixed-effect logistic regression

I’m looking for an R package for estimating the coefficients of logit models with individual fixed-effect (individual intercept) using Chamberlain’s 1980 estimator. It is often known as Chamberlain’s fixed-effect logit estimator.

It’s a classic estimator when dealing with binary outcome panel data (at least in econometrics), but I just don’t find anything related to it in the CRAN.

Any clue?

Answer

Conditional logistic regression (I assume that this is what you refered to when talking about Chamberlain’s estimator) is available through clogit() in the survival package. I also found this page which contains R code to estimate conditional logit parameters. The survey package also includes a lot of wrapper function for GLM and Survival model in the case of complex sampling, but I didn’t look at.

Try also to look at logit.mixed in the Zelig package, or directly use the lme4 package which provide methods for mixed-effects models with binomial link (see lmer or glmer).

Did you take a look at Econometrics in R, from Grant V. Farnsworth? It seems to provide a gentle overview of applied econometrics in R (with which I am not familiar).

Attribution
Source : Link , Question Author : Kamixave , Answer Author : chl

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