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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 the 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.
Authors
Research Associate University College London and University of Oxford
Martin is an IFS Research Associate, a Fellow of the Nuffield College and a Professor in the Department of Economics at the University of Oxford.
Bo E. Honoré
Chris Muris
Working Paper details
- DOI
- 10.47004/wp.cem.2021.4421
- Publisher
- cemmap
Suggested citation
B, Honoré and C, Muris and M, Weidner. (2021). Dynamic ordered panel logit models. London: cemmap. Available at: https://ifs.org.uk/publications/dynamic-ordered-panel-logit-models (accessed: 26 April 2024).
Grant
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