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Identification and estimation of thresholds in the fixed effects ordered logit model

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  • Gregori Baetschmann
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    Abstract

    The paper proposes a new estimator for the fixed effects ordered logit model. In contrast to existing methods, the new procedure allows estimating the thresholds. The empirical relevance and simplicity of implementation is illustrated in an application to the effect of unemployment on life satisfaction.

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    File URL: http://www.econ.uzh.ch/static/wp/econwp046.pdf
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    Bibliographic Info

    Paper provided by Department of Economics - University of Zurich in its series ECON - Working Papers with number 046.

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    Date of creation: Nov 2011
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    Handle: RePEc:zur:econwp:046

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    Keywords: Ordered response; panel data; correlated heterogeneity; incidental parameters;

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    1. Das, J.W.M. & Soest, A.H.O. van, 1996. "A Panel Data Model for Subjective Information on Household Income Growth," Discussion Paper 1996-75, Tilburg University, Center for Economic Research.
    2. Ada Ferrer-i-Carbonell & Paul Frijters, 2004. "How Important is Methodology for the estimates of the determinants of Happiness?," Economic Journal, Royal Economic Society, vol. 114(497), pages 641-659, 07.
    3. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
    4. Baetschmann, Gregori & Staub, Kevin & Winkelmann, Rainer, 2011. "Consistent Estimation of the Fixed Effects Ordered Logit Model," IZA Discussion Papers 5443, Institute for the Study of Labor (IZA).
    5. Chamberlain, Gary, 1980. "Analysis of Covariance with Qualitative Data," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 225-38, January.
    6. Winkelmann, Liliana & Winkelmann, Rainer, 1998. "Why Are the Unemployed So Unhappy? Evidence from Panel Data," Economica, London School of Economics and Political Science, vol. 65(257), pages 1-15, February.
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