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. We find that: (i) the autoregressive parameter is positive and analogous to a linear AR(1) coefficient of about 0.25, indicating persistence in health status; (ii) the association between income and health becomes insignificant once we control for unobserved heterogeneity and persistence.
Further results on the estimation of dynamic panel logit models with fixed effects
Kitazawa (2013, 2016) showed that the common parameters in the panel logit AR(1) model with strictly exogenous covariates and fixed effects are estimable at the root-n rate using the Generalized Method of Moments . Honoré and Weidner (2020) extended his results in various directions: they found additional moment conditions for the logit AR(1) model and also considered estimation of logit AR(p) models with p>1. In this note we prove a conjecture in their paper and show that for given values of the initial condition, the covariates and the common parameters 2^{T}-2T of their moment functions for…
Fitting mixed logit random regret minimization models using maximum simulated likelihood
本文描述了mixrandregret命令，它扩展了Gutiérrez-Vargas等人（2021，The Stata Journal 21：626-658）中引入的randregret命令，并为随机遗憾最小化模型引入了随机系数。新开发的命令mixrandregret允许在Chorus（2010，European Journal of Transport and Infrastructure Research 10：181-196）中引入的经典RRM模型的后悔函数中包含随机系数。该命令允许用户指定固定系数和随机系数的组合。此外，用户可以使用命令的选项为随机系数指定正态分布和对数正态分布。使用模拟最大似然法拟合模型，使用数值积分来近似选择概率。
