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

Bartolucci, Francesco and Pigini, Claudia and Valentini, Francesco (2022): Testing for state dependence in the fixed-effects ordered logit model.

Abstract

We propose a test for state dependence in the fixed-effects ordered logit model, based on the combination of the Quadratic Exponential model with the popular Blow-Up and Cluster procedure, used to estimate the fixed-effects ordered logit model. The test exhibits satisfactory size and power properties in simulation, for data generated according to models where persistence lies either in the latent or observed response variable.

• Item Type: MPRA Paper
• Language: English
• Keywords: Conditional Maximum Likelihood; Fixed effects; Ordered panel data; Quadratic Exponential model; State dependence
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C23 - Panel Data Models ; Spatio-temporal Models; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C25 - Discrete Regression and Qualitative Choice Models ; Discrete Regressors ; Proportions ; Probabilities

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