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Consistent estimation of the fixed effects ordered logit model


Baetschmann, Gregori; Staub, Kevin E; Winkelmann, Rainer (2015). Consistent estimation of the fixed effects ordered logit model. Journal of the Royal Statistical Society: Series A, 178(3):685-703.

Abstract

The paper considers panel data methods for estimating ordered logit models with individual-specific correlated unobserved heterogeneity. We show that a popular approach is inconsistent, while a number of consistent and effcient estimators are available, including minimum distance and GMM. A Monte Carlo study reveals the good properties of an alternative estimator that has not been considered in econometric applications before, is simple to implement and almost as eficient. An illustrative application based on data from the German Socio-Economic Panel confirms the large negative effect of unemployment on life satisfaction found in the previous literature.

Abstract

The paper considers panel data methods for estimating ordered logit models with individual-specific correlated unobserved heterogeneity. We show that a popular approach is inconsistent, while a number of consistent and effcient estimators are available, including minimum distance and GMM. A Monte Carlo study reveals the good properties of an alternative estimator that has not been considered in econometric applications before, is simple to implement and almost as eficient. An illustrative application based on data from the German Socio-Economic Panel confirms the large negative effect of unemployment on life satisfaction found in the previous literature.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Economics
Dewey Decimal Classification:330 Economics
Language:English
Date:2015
Deposited On:19 Jan 2015 10:20
Last Modified:14 Feb 2018 08:39
Publisher:Wiley-Blackwell Publishing, Inc.
ISSN:0964-1998
OA Status:Closed
Free access at:Related URL. An embargo period may apply.
Publisher DOI:https://doi.org/10.1111/rssa.12090
Related URLs:http://www.econ.uzh.ch/faculty/staub/feologit.pdf
http://dx.doi.org/10.5167/uzh-50780

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