本文针对含固定效应的动态有序面板 logit 模型，构造可由四期及以上数据计算且无固定效应的矩条件，证明其识别共同参数，并以 GMM、Monte Carlo 模拟和英国家庭面板调查实证验证估计表现。
摘要：
本文研究了一种具有固定效应的面板数据动态有序 logit 模型。论文的主要贡献是构造了一组不含固定效应的有效矩条件。这些矩函数可以使用四期或更多期的数据计算，并且论文给出了矩条件识别模型共同参数的充分条件，这些共同参数即回归系数、自回归参数和阈值参数。矩条件的可得性表明，可以使用广义矩估计方法来估计这些共同参数；论文还通过 Monte Carlo 模拟以及利用英国家庭面板调查对自我报告健康状况进行的实证示例，记录了该估计量的表现。
英文摘要：
This paper studies a dynamic ordered logit model for panel data with fixed effects. The main contribution of the paper is to construct a set of valid moment conditions that are free of the fixed effects. The moment functions can be computed using four or more periods of data, and the paper presents sufficient conditions for the moment conditions to identify the common parameters of the model, namely the regression coefficients, the autoregressive parameters, and the threshold parameters. The availability of moment conditions suggests that these common parameters can be estimated using the generalized method of moments, and the paper documents the performance of this estimator using Monte Carlo simulations and an empirical illustration to self-reported health status using the British Household Panel Survey.
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…
Robust Priors in Nonlinear Panel Models with Individual and Time Effects
Institute for Economic and Social Research, Jinan University（暨南大学经济社会研究院）；School of Economics, Shanghai University of Finance and Economics（上海财经大学经济学院）；Department of Economics, University of Warwick（华威大学经济学系）；College of Economics and Management, South China Agricultural University（华南农业大学经济管理学院）；Department of Economics, Boston University（波士顿大学经济学系）
