  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.
