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Dynamic Ordered Panel Logit Models

Author

Listed:
  • Bo E. Honoré

    (Princeton University)

  • Chris Muris

    (McMaster University)

  • Martin Weidner

    (University of Oxford)

Abstract

We study a dynamic ordered logit model for panel data with fixed effects. We establish the validity of a set of moment conditions that are free of the fixed effects and that can be computed using four or more periods of data. We establish sufficient conditions for these moment conditions to identify the regression coefficients, the autoregressive parameters, and the threshold parameters. The parameters can be estimated using generalized method of moments. We document the performance of this estimator using Monte Carlo simulations and an empirical illustration to self-reported health status using the British Household Panel Survey.

Suggested Citation

  • Bo E. Honoré & Chris Muris & Martin Weidner, 2021. "Dynamic Ordered Panel Logit Models," Working Papers 2021-14, Princeton University. Economics Department..
    • Handle: RePEc:pri:econom:2021-14
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    File URL: https://arxiv.org/pdf/2107.03253.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Kevin Dano, 2023. "Transition Probabilities and Moment Restrictions in Dynamic Fixed Effects Logit Models," Papers 2303.00083, arXiv.org, revised Dec 2023.
    2. Andrew Chesher & Adam M. Rosen & Yuanqi Zhang, 2024. "Robust Analysis of Short Panels," Papers 2401.06611, arXiv.org.
    3. Cavit Pakel & Martin Weidner, 2023. "Bounds on Average Effects in Discrete Choice Panel Data Models," Papers 2309.09299, arXiv.org, revised Dec 2023.
    4. Bartolucci, Francesco & Pigini, Claudia & Valentini, Francesco, 2023. "Testing for state dependence in the fixed-effects ordered logit model," Economics Letters, Elsevier, vol. 222(C).
    5. Irene Botosaru & Chris Muris & Senay Sokullu, 2022. "Time-Varying Linear Transformation Models with Fixed Effects and Endogeneity for Short Panels," Department of Economics Working Papers 2022-01, McMaster University.
    6. Bo E. Honoré & Luojia Hu & Ekaterini Kyriazidou & Martin Weidner, 2023. "Simultaneity in binary outcome models with an application to employment for couples," Empirical Economics, Springer, vol. 64(6), pages 3197-3233, June.
    7. Hansen, Jörgen & Davalloo, Golnaz, 2023. "Persistent Marijuana Use: Evidence from the NLSY," IZA Discussion Papers 16446, Institute of Labor Economics (IZA).
    8. Geert Dhaene & Martin Weidner, 2023. "Approximate Functional Differencing," Papers 2301.13736, arXiv.org, revised May 2023.

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    More about this item

    Keywords

    model;

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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