Muris, Chris;
Raposo, Pedro;
Vandoros, Sotiris;
(2023)
A Dynamic Ordered Logit Model with Fixed Effects.
Review of Economics and Statistics
pp. 1-36.
10.1162/rest_a_01336.
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Abstract
We study a fixed-T panel data logit model for ordered outcomes that accommodates fixed effects and state dependence. We provide identification results for the autoregressive parameter, regression coefficients, and the threshold parameters in this model. Our results require only four observations on the outcome variable. We provide conditions under which a composite conditional maximum likelihood estimator is consistent and asymptotically normal. We use our estimator to explore the determinants of self-reported health in a panel of European countries over the period 2003–2016 and find evidence for state dependence in self-reported health.
| Type: | Article |
|---|---|
| Title: | A Dynamic Ordered Logit Model with Fixed Effects |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1162/rest_a_01336 |
| Publisher version: | https://doi.org/10.1162/rest_a_01336 |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | C23 |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > School of Life and Medical Sciences |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/10173423 |
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