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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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    References listed on IDEAS

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    1. 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).
    2. 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.
    3. 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.
    4. Florian Heiss, 2011. "Dynamics of self-rated health and selective mortality," Empirical Economics, Springer, vol. 40(1), pages 119-140, February.
    5. Bo E. Honoré & Chris Muris & Martin Weidner, 2021. "Dynamic Ordered Panel Logit Models," Working Papers 2021-14, Princeton University. Economics Department..
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. Chris Muris & Pedro Raposo & Sotiris Vandoros, 2020. "A Dynamic Ordered Logit Model with Fixed Effects," Department of Economics Working Papers 2020-14, McMaster University.
    11. 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.
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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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