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Consistent estimation of the fixed effects ordered logit model


Baetschmann, Gregori; Staub, Kevin E; Winkelmann, Rainer (2011). Consistent estimation of the fixed effects ordered logit model. Working paper series / Department of Economics No. 4, University of Zurich.

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.

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.

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Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Economics
Working Paper Series > Department of Economics
Dewey Decimal Classification:330 Economics
JEL Classification:C23, C25, J28, J64
Uncontrolled Keywords:Ordered response, panel data, correlated heterogeneity, incidental parameters
Language:English
Date:19 January 2011
Deposited On:11 Nov 2011 07:43
Last Modified:05 Apr 2016 15:05
Series Name:Working paper series / Department of Economics
Number of Pages:32
ISSN:1664-7041 (P) 1664-705X (E)
Permanent URL: http://doi.org/10.5167/uzh-50780

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