Permanent URL to this publication: http://dx.doi.org/10.5167/uzh-50780
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.
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.
|Item Type:||Working Paper|
|Communities & Collections:||03 Faculty of Economics > Department of Economics|
Working Paper Series > Department of Economics
|JEL Classification:||C23, C25, J28, J64|
|Uncontrolled Keywords:||Ordered response, panel data, correlated heterogeneity, incidental parameters|
|Date:||19 January 2011|
|Deposited On:||11 Nov 2011 07:43|
|Last Modified:||16 Oct 2012 16:18|
|Series Name:||Working paper series / Department of Economics|
|Number of Pages:||32|
|ISSN:||1664-7041 (P) 1664-705X (E)|
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