论文标题
具有固定效果的动态有序logit模型
A dynamic ordered logit model with fixed effects
论文作者
论文摘要
我们研究了一个固定的$ t $面板数据logit模型，以适应固定效果和状态依赖性的有序结果。我们为自回归参数，回归系数和该模型中的阈值参数提供标识结果。我们的结果仅需要四个观察结果变量。我们提供了综合条件最大似然估计器一致且渐近正常的条件。我们使用估算员在2003 - 2016年期间探索欧洲国家小组中自我报告的健康的决定因素。我们发现：（i）自回旋参数正面且类似于线性AR（1）系数约为0.25，表明健康状况的持续性； （ii）一旦我们控制了未观察到的异质性和持久性，收入与健康之间的关联就变得微不足道。
We study a fixed-$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. We find that: (i) the autoregressive parameter is positive and analogous to a linear AR(1) coefficient of about 0.25, indicating persistence in health status; (ii) the association between income and health becomes insignificant once we control for unobserved heterogeneity and persistence.
