Solved ordered probit question

classic Classic list List threaded Threaded
1 message Options
Reply | Threaded
Open this post in threaded view

Solved ordered probit question

Ajay Shah
A few minutes ago I had asked why this didn't seem to work:

# Simulate from probit model --
x1 <- 2*runif(5000)
x2 <- 5*runif(5000)
ystar <- 7 + 3*x1 - 4*x2 + rnorm(5000)
y <- cut(ystar, breaks=c(-100, -5, 0, 5, 100))
summary(polr(y ~ x1 + x2, method="probit"))

A little thinking revealed why. In the ordered probit model, the
intercept "7" is not identified. So the estimation recovers -7 +
c(-5,0,5) = c(-12,-7,-2) For the rest, it works fine. The slopes
c(3,-4) are recovered correctly.


Ajay Shah                             
[hidden email]                   
<*(:-? - wizard who doesn't know the answer.

[hidden email] mailing list
PLEASE do read the posting guide!