[R] Ordered probit (Puzzled at MASS:polr())

Ajay Narottam Shah ajayshah at mayin.org
Fri Mar 31 05:20:34 CEST 2006

This part, a vanilla probit, works perfectly --
  # Simulate from probit model --
  x1 <- 2*runif(5000)
  x2 <- 5*runif(5000)
  ystar <- 7 + 3*x1 - 4*x2 + rnorm(5000)
  y <- as.numeric(ystar>0)

  # Estimation using micEcon::probit()
  summary(probit(y ~ x1 + x2))

  # Estimation using glm() --
  summary(glm(y~x1+x2, family=binomial(probit)) )

But this part, where I move on to ordered probit, gives me wonky values --

  # Simulate from ordered probit model
  y <- cut(ystar, breaks=c(-100, -5, 0, 5, 100))
  # Estimate ordered probit model --
  summary(polr(y ~ x1 + x2, method="probit"))

I get coefficients which are quite far from c(7,3,-4) which were used
in simulation above and I get breaks which are quite far from
c(-5,0,5) which were used in simulation above. I wonder what I'm doing

Ajay Shah                                      http://www.mayin.org/ajayshah  
ajayshah at mayin.org                             http://ajayshahblog.blogspot.com
<*(:-? - wizard who doesn't know the answer.

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