[R] polr probit versus stata oprobit

[Jean Eid]

Dear Thomas,

Where you also able to replicate the second example?  (the exaample
that I turned the housing data into numerical variables) That is the one
that my estimates differ.

Jean,

On Wed, 10 Nov 2004, Thomas Lumley wrote:

> On Wed, 10 Nov 2004, Jean Eid wrote:
>
> > Dear All,
> > I have been struggling to understand why for the housing data in MASS
> > library R and stata give coef. estimates that are really different. I also
> > tried to come up with many many examples myself (see below, of course I
> > did not have the set.seed command included) and all of my
> > `random' examples seem to give verry similar output. For the housing data,
> > I have changed the data into numeric vectors instead of factors/ordered
> > factors. I did so to try and get the same results as in STATA and to have
> > the housing example as close as possible to the one I constructed.
> >
> > I run a debian sid, kernel 2.4, R 2.0.0, and STATA version 8.2, MASS
> > version  7.2-8.
> >
> >
> > here's the example ( I assume that you have STATA installed and can run in
> > batch mode, if not the output is also given below)
> >
>
> That example shows the same results with Stata and polr() from MASS.
>
> For the housing data, I also get the same coefficients in Stata as with
> polr():
>
> In R:
> library(MASS)
> library(foreign)
> write.dta(housing, file="housing.dta")
> house.probit<-polr(Sat ~ Infl + Type + Cont, data = housing, weights =
> Freq, method = "probit")
> summary(house.probit)
> -------------------------
> Re-fitting to get Hessian
>
> Call:
> polr(formula = Sat ~ Infl + Type + Cont, data = housing, weights = Freq,
>      method = "probit")
>
> Coefficients:
>                     Value Std. Error   t value
> InflMedium     0.3464233 0.06413706  5.401297
> InflHigh       0.7829149 0.07642620 10.244063
> TypeApartment -0.3475372 0.07229093 -4.807480
> TypeAtrium    -0.2178874 0.09476607 -2.299213
> TypeTerrace   -0.6641737 0.09180004 -7.235005
> ContHigh       0.2223862 0.05812267  3.826153
>
> Intercepts:
>              Value   Std. Error t value
> Low|Medium  -0.2998  0.0762    -3.9371
> Medium|High  0.4267  0.0764     5.5850
>
> Residual Deviance: 3479.689
> AIC: 3495.689
> ------------------------
>
>
> In Stata
> -----------------
> . use housing.dta
> . xi: oprobit Sat i.Infl i.Type i.Cont [fw=Freq]
> i.Infl            _IInfl_1-3          (naturally coded; _IInfl_1 omitted)
> i.Type            _IType_1-4          (naturally coded; _IType_1 omitted)
> i.Cont            _ICont_1-2          (naturally coded; _ICont_1 omitted)
>
> Iteration 0:   log likelihood = -1824.4388
> Iteration 1:   log likelihood = -1739.9254
> Iteration 2:   log likelihood = -1739.8444
>
> Ordered probit estimates                          Number of obs   =    1681
>                                                    LR chi2(6)      =   169.19
>                                                    Prob > chi2     =   0.0000
> Log likelihood = -1739.8444                       Pseudo R2       =   0.0464
>
> ------------------------------------------------------------------------------
>           Sat |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
> Interval]
> -------------+----------------------------------------------------------------
>      _IInfl_2 |   .3464228    .064137     5.40   0.000     .2207165     .472129
>      _IInfl_3 |   .7829146    .076426    10.24   0.000     .6331224    .9327069
>      _IType_2 |  -.3475367   .0722908    -4.81   0.000    -.4892241   -.2058493
>      _IType_3 |  -.2178875    .094766    -2.30   0.021    -.4036254   -.0321497
>      _IType_4 |  -.6641735   .0917999    -7.24   0.000     -.844098    -.484249
>      _ICont_2 |   .2223858   .0581226     3.83   0.000     .1084676     .336304
> -------------+----------------------------------------------------------------
>         _cut1 |  -.2998279   .0761537          (Ancillary parameters)
>         _cut2 |   .4267208   .0764043
> ------------------------------------------------------------------------------
>
>
>
>  	-thomas
>