This paper considers the estimation of a dynamic ordered probit of self-assessed health status with two fixed effects: one in the linear index equation and one in the cut points. The two fixed effects allow us to robustly control for heterogeneity in unobserved health status and in reporting...

Inference on common parameters in panel data models with individual-specific fixed effects is a classic example of Neyman and Scott's (Econometrica 36:1-32, 1948) incidental parameter problem (IPP). One solution to this IPP is functional differencing (Bonhomme in Econometrica 80(4):1337-1385,...

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...

Inference on common parameters in panel data models with individual-specific fixed effects is a classic example of Neyman and Scott's (Econometrica 36:1-32, 1948) incidental parameter problem (IPP). One solution to this IPP is functional differencing (Bonhomme in Econometrica 80(4):1337-1385,...