A Dynamic Ordered Logit Model With Fixed Effects
研究了一个允许固定效应和状态依赖的固定T面板数据有序Logit模型，给出了自回归参数、回归系数和阈值参数的识别条件，并提出了复合条件最大似然估计量。
Abstract We study a fixed-T panel data logit model for ordered outcomes that accommodates fixed effects and state dependence. We provide identification results for the autoregressive parameter, regression coefficients, and the threshold parameters in this model. Our results require only four observations on the outcome variable. We provide conditions under which a composite conditional maximum likelihood estimator is consistent and asymptotically normal. We use our estimator to explore the determinants of self-reported health in a panel of European countries over the period 2003–2016, and we find evidence for state dependence in self-reported health.