A Multivariate Extension of the Dynamic Logit Model for Longitudinal Data Based on a Latent Markov Heterogeneity Structure

For the analysis of multivariate categorical longitudinal data, we propose an extension of the dynamic logit model. The resulting model is based oil a marginal parameterization of the conditional distribution of each vector of response variables given the covariates, the lagged response variables. and a set of subject-specific parameters for the unobserved heterogeneity. The latter ones are assumed to follow a first-order Markov chain. For the maximum likelihood estimation of the model parameters, we outline an EM algorithm. The data analysis approach based on the Proposed model is illustrated by a simulation study and in application to a dataset. which derives front the Panel Study on Income Dynamics and concerns fertility and female participation to the labor market.