A dynamic ordered logit model with fixed effects

Chris Muris; Pedro Raposo; Sotiris Vandoros

doi:10.1162/rest_a_01336

A dynamic ordered logit model with fixed effects

Chris Muris^*, Pedro Raposo, Sotiris Vandoros

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

We study a fixed- (Formula presented.) 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.

Original language	English
Pages (from-to)	1104-1114
Number of pages	11
Journal	Review of Economics and Statistics
Volume	107
Issue number	4
DOIs	https://doi.org/10.1162/rest_a_01336
Publication status	Published - 17 Jul 2025

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10.1162/rest_a_01336

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title = "A dynamic ordered logit model with fixed effects",

abstract = "We study a fixed- (Formula presented.) 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.",

author = "Chris Muris and Pedro Raposo and Sotiris Vandoros",

note = "Publisher Copyright: {\textcopyright} 2023 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.",

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T1 - A dynamic ordered logit model with fixed effects

AU - Muris, Chris

AU - Raposo, Pedro

AU - Vandoros, Sotiris

PY - 2025/7/17

Y1 - 2025/7/17

N2 - We study a fixed- (Formula presented.) 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.

AB - We study a fixed- (Formula presented.) 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.

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DO - 10.1162/rest_a_01336

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ER -

A dynamic ordered logit model with fixed effects

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CUBE: Católica Lisbon Research Unit in Business and Economics

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A dynamic ordered logit model with fixed effects

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CUBE: Católica Lisbon Research Unit in Business and Economics

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