[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)
table(y)
# Estimation using micEcon::probit()
library(micEcon)
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))
table(y)
# Estimate ordered probit model --
library(MASS)
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
wrong.
--
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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