[R] ordered probit and cauchit

[David Reinke]

The Political Science Computational Laboratory at Stanford has R code for
ordered probit (courtesy of Simon Jackman):
http://pscl.stanford.edu/oprobit.

David Reinke


-----Original Message-----
From: David Firth [mailto:d.firth at warwick.ac.uk]
Sent: Wednesday, September 22, 2004 02:04
To: roger koenker
Cc: r-help at stat.math.ethz.ch
Subject: Re: [R] ordered probit and cauchit

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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