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Title:Consistent estimation of the fixed effects ordered logit model PDF Logo
Authors:Baetschmann, Gregori
Staub, Kevin E.
Winkelmann, Rainer
Issue Date:2011
Series/Report no.:Discussion paper series // Forschungsinstitut zur Zukunft der Arbeit 5443
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.
Subjects:ordered response
panel data
correlated heterogeneity
incidental parameters
JEL:C23
C25
J28
J64
Persistent Identifier of the first edition:urn:nbn:de:101:1-201104113165
Document Type:Working Paper
Appears in Collections:IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA)

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