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Consistent Estimation of the Fixed Effects Ordered Logit Model

Author

Listed:
  • Baetschmann, Gregori

    (University of Zurich)

  • Staub, Kevin E.

    (University of Melbourne)

  • Winkelmann, Rainer

    (University of Zurich)

Abstract

The paper re-examines existing estimators for the panel data fixed effects ordered logit model, proposes a new one, and studies the sampling properties of these estimators in a series of Monte Carlo simulations. There are two main findings. First, we show that some of the estimators used in the literature are inconsistent, and provide reasons for the inconsistency. Second, the new estimator is never outperformed by the others, seems to be substantially more immune to small sample bias than other consistent estimators, and is easy to implement. The empirical relevance is illustrated in an application to the effect of unemployment on life satisfaction.

Suggested Citation

  • Baetschmann, Gregori & Staub, Kevin E. & Winkelmann, Rainer, 2011. "Consistent Estimation of the Fixed Effects Ordered Logit Model," IZA Discussion Papers 5443, Institute of Labor Economics (IZA).
  • Handle: RePEc:iza:izadps:dp5443
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    References listed on IDEAS

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    More about this item

    Keywords

    ordered response; panel data; correlated heterogeneity; incidental parameters;
    All these keywords.

    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
    • J28 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Safety; Job Satisfaction; Related Public Policy
    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search

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