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Testing for state dependence in the fixed-effects ordered logit model

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  • Bartolucci, Francesco
  • Pigini, Claudia
  • Valentini, Francesco

Abstract

We propose a test for state dependence in the fixed-effects ordered logit, based on the Quadratic Exponential model. The test can be applied to models where persistence lies either in the latent or observed response variable.

Suggested Citation

  • Bartolucci, Francesco & Pigini, Claudia & Valentini, Francesco, 2023. "Testing for state dependence in the fixed-effects ordered logit model," Economics Letters, Elsevier, vol. 222(C).
    • Handle: RePEc:eee:ecolet:v:222:y:2023:i:c:s0165176522004384
    DOI: 10.1016/j.econlet.2022.110964
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    1. Gregori Baetschmann & Kevin E. Staub & Rainer Winkelmann, 2015. "Consistent estimation of the fixed effects ordered logit model," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 178(3), pages 685-703, June.
    2. Francesco Bartolucci & Valentina Nigro, 2010. "A Dynamic Model for Binary Panel Data With Unobserved Heterogeneity Admitting a √n-Consistent Conditional Estimator," Econometrica, Econometric Society, vol. 78(2), pages 719-733, March.
    3. Florian Heiss, 2011. "Dynamics of self-rated health and selective mortality," Empirical Economics, Springer, vol. 40(1), pages 119-140, February.
    4. Bo E. Honoré & Chris Muris & Martin Weidner, 2021. "Dynamic Ordered Panel Logit Models," Working Papers 2021-14, Princeton University. Economics Department..
    5. Paul Contoyannis & Andrew M. Jones & Nigel Rice, 2004. "The dynamics of health in the British Household Panel Survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(4), pages 473-503.
    6. Jesus M. Carro & Alejandra Traferri, 2014. "State Dependence And Heterogeneity In Health Using A Bias‐Corrected Fixed‐Effects Estimator," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(2), pages 181-207, March.
    7. Chris Muris & Pedro Raposo & Sotiris Vandoros, 2020. "A Dynamic Ordered Logit Model with Fixed Effects," Department of Economics Working Papers 2020-14, McMaster University.
    8. Chris Muris, 2017. "Estimation in the Fixed-Effects Ordered Logit Model," The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 465-477, July.
    9. Bartolucci, Francesco & Pigini, Claudia, 2017. "cquad: An R and Stata Package for Conditional Maximum Likelihood Estimation of Dynamic Binary Panel Data Models," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 78(i07).
    10. Stephen Pudney, 2008. "The dynamics of perception: modelling subjective wellbeing in a short panel," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 171(1), pages 21-40, January.
    11. Francesco Bartolucci & Valentina Nigro & Claudia Pigini, 2018. "Testing for state dependence in binary panel data with individual covariates by a modified quadratic exponential model," Econometric Reviews, Taylor & Francis Journals, vol. 37(1), pages 61-88, January.
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    More about this item

    Keywords

    Conditional Maximum Likelihood; Fixed effects; Ordered panel data; Quadratic exponential model; State dependence;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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