A Dynamic Ordered Logit Model with Fixed Effects

• 成果类型: Article
• 署名作者: Muris, Chris; Raposo, Pedro; Vandoros, Sotiris
• 署名单位: McMaster University; Universidade Catolica Portuguesa; University of London; University College London; Harvard University
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_01336
• 发表日期: 2025-07
• 页码: 1104-1114
• 关键词: discrete-choice models; self-assessed health; panel-data; state dependence; unobserved heterogeneity; income; recessions; INFORMATION; parenthood

摘要

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 we find evidence for state dependence in self-reported health.