Dynamic ordered panel logit models

• 成果类型: Article
• 署名作者: Honore, Bo E.; Muris, Chris; Weidner, Martin
• 署名单位: Princeton University; McMaster University; University of Oxford; University of Oxford
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE2052
• 发表日期: 2025
• 页码: 899-945
• 关键词: Panel data; ordered choice; C13; C23; C25

摘要

This paper studies a dynamic ordered logit model for panel data with fixed effects. The main contribution of the paper is to construct a set of valid moment conditions that are free of the fixed effects. The moment functions can be computed using four or more periods of data, and the paper presents sufficient conditions for the moment conditions to identify the common parameters of the model, namely the regression coefficients, the autoregressive parameters, and the threshold parameters. The availability of moment conditions suggests that these common parameters can be estimated using the generalized method of moments, and the paper documents the performance of this estimator using Monte Carlo simulations and an empirical illustration to self-reported health status using the British Household Panel Survey.