Consistent Estimation of the Fixed Effects Ordered Logit Model

Gregori Baetschmann (), Kevin Staub and Rainer Winkelmann
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Gregori Baetschmann: University of Zurich

No 5443, IZA Discussion Papers from Institute of Labor Economics (IZA)

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.

Keywords: ordered response; panel data; correlated heterogeneity; incidental parameters (search for similar items in EconPapers)
JEL-codes: C23 C25 J28 J64 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2011-01
New Economics Papers: this item is included in nep-dcm and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (99)

Published - published in: Journal of the Royal Statistical Society A, 2015, 178, 685–703.

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Journal Article: Consistent estimation of the fixed effects ordered logit model (2015)
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