The Review of Economics and Statistics Vol. 107 No. 4 2025

A Dynamic Ordered Logit Model with Fixed Effects

Chris Muris¹; Pedro S. Raposo²; Sotiris Vandoros³

¹ McMaster University · ² Universidade Católica Portuguesa, Católica Lisbon School of Business & Economics · ³ University College London (UCL) and Harvard University

Abstract

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, and we find evidence for state dependence in self-reported health.

DOI

10.1162/rest_a_01336

Volume

107

Issue

4

Pages

1104-1114

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

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