Correcting the bias in the estimation of a dynamic ordered probit with fixed effects of self-assessed health status

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dc.contributor.author Carro, Jesús M.
dc.contributor.author Traferri, Alejandra
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned 2009-09-16T12:09:26Z
dc.date.available 2009-09-16T12:09:26Z
dc.date.issued 2009-06
dc.identifier.issn 2340-5031
dc.identifier.uri http://hdl.handle.net/10016/5210
dc.description.abstract This paper considers the estimation of a dynamic ordered probit with fixed effects, with an application to self-assessed health status. The estimation of nonlinear panel data models with fixed effects by MLE is known to be biased when T is not very large. The problem is specially severe in our model because of the dynamics and because it contains two fixed effects: one in the linear index equation, interpreted as unobserved health status, and another one in the cut points, interpreted as heterogeneity in reporting behavior. The contributions of this paper are twofold. Firstly this paper contributes to the recent literature on bias correction in nonlinear panel data models by applying and studying the finite sample properties of two of the existing proposals to the ordered probit case. The most direct and easily applicable correction to our model is not the best one and still has important biases in our sample sizes. Secondly, we contribute to the literature that study the determinants of Self-Assesed Health measures by applying the previous analysis on estimation methods to the British Household Panel Survey.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working paper. Economics
dc.relation.ispartofseries 09-21
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Dynamic ordered probit
dc.subject.other Self-assessed health
dc.subject.other Reporting bias
dc.subject.other Panel data
dc.subject.other Unobserved heterogeneity
dc.subject.other Incidental parameters
dc.subject.other Bias correction
dc.title Correcting the bias in the estimation of a dynamic ordered probit with fixed effects of self-assessed health status
dc.type workingPaper
dc.subject.jel C23
dc.subject.jel C25
dc.subject.jel I19
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
dc.identifier.repec we094021
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