Hi Guanghi,
It seems to me that your problem can be adressed with a model developed by
Cameron & Heckman, the reference is Cameron, S & Heckman J (2001) "The
dynamics of educational attainment for Black, Hispanic & White
Males" Journal of Political Economy 109:3 455-499.
With that model you can include lagged variables (no inconsistency
problems), and you can control for correlation for women across
periods. Although you would still will have the problem of controling
for clusters, plus this method is not canned so you have to do some
programming to implement it. Hope this helps.
Larissa
On Mon, 16 Jun 2003, Guanghui Li wrote:
> Dear all,
>
> I have cross sectional time series data on a group of women. In each period,
> the women choose from 3 choices: 0, 1 or 2.
>
> Which choice the woman chooses in each period depends on a group of
> independent variables and also choices she made in the previous periods.
>
> I want to estimate a multinomial model of the three choices, accounting for
> correlations among the observations from the same women, and also
> correlations among women residing in the same areas due to cluster sampling.
>
> The fixed effect approach does not serve my purpose because the majority of
> the independent variables are time-invariant.
>
> And I am not sure which econometric model to use so that her current period
> choice may depend on choices she made in all previous periods. I could
> construct two new variables which reflect all her previous decisions. But I
> am not sure it is the right way to do.
>
> Thank you in advance for your generous help.
>
> Sincerely,
>
> Guanghui Li
>
>
>
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