Estimation of a two-equation panel model with mixed continuous and ordered categorical outcomes and missing data

The paper proposes an estimation approach for panel models with mixed continuous and ordered categorical outcomes based on generalized estimating equations for the mean and pseudoscore equations for the covariance parameters. A numerical study suggests that efficiency can be gained in the mean parameter estimators by using individual covariance matrices in the estimating equations for the mean parameters. The approach is applied to estimate the returns to occupational qualification in terms of income and perceived job security in a 9-year period based on the German Socio-Economic Panel. To compensate for missing data, a combined multiple imputation-weighting approach is adopted. Copyright 2006 Royal Statistical Society.