[R] ordered probit and cauchit

[David Firth]

On Wednesday, Sep 22, 2004, at 03:42 Europe/London, roger koenker wrote:

> What is the current state of the R-art for ordered probit models, and 
> more
> esoterically is there any available R strategy for ordered cauchit 
> models,
> i.e. ordered multinomial alternatives with a cauchy link function.  
> MCMC
> is an option, obviously, but for a univariate latent variable model 
> this seems
> to be overkill... standard mle methods should be preferable.  (??)
>

A quick look at polr (in the MASS package) suggests to me that it 
wouldn't be all that hard to extend it to link functions other than 
logistic.

Is MLE known to be well behaved in these models if the latent variable 
is Cauchy?

David


> Googling reveals that spss provides such functions... just to wave a 
> red
> flag.
>
>> url:    www.econ.uiuc.edu/~roger                Roger Koenker
>> email   rkoenker at uiuc.edu                       Department of 
>> Economics
>> vox:    217-333-4558                            University of Illinois
>> fax:    217-244-6678                            Champaign, IL 61820
>
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