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Dynamic ordered panel logit models.

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Názov: Dynamic ordered panel logit models.
Autori: Honoré, Bo E.1 (AUTHOR) honore@princeton.edu, Muris, Chris2 (AUTHOR) muerisc@mcmaster.ca, Weidner, Martin3 (AUTHOR) martin.weidner@economics.ox.ac.uk
Zdroj: Quantitative Economics. Jul2025, Vol. 16 Issue 3, p899-945. 47p.
Predmety: *GENERALIZED method of moments, *PARAMETER estimation, FIXED effects model, AUTOREGRESSIVE models, EQUATIONS, PANEL analysis
Abstrakt: 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. [ABSTRACT FROM AUTHOR]
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Databáza: Business Source Index
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Abstrakt: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. [ABSTRACT FROM AUTHOR]
ISSN:17597323
DOI:10.3982/QE2052