[R] Solved ordered probit question

[Ajay Narottam Shah]

A few minutes ago I had asked why this didn't seem to work:

# Simulate from probit model --
x1 <- 2*runif(5000)
x2 <- 5*runif(5000)
ystar <- 7 + 3*x1 - 4*x2 + rnorm(5000)
y <- cut(ystar, breaks=c(-100, -5, 0, 5, 100))
table(y)
library(MASS)
summary(polr(y ~ x1 + x2, method="probit"))

A little thinking revealed why. In the ordered probit model, the
intercept "7" is not identified. So the estimation recovers -7 +
c(-5,0,5) = c(-12,-7,-2) For the rest, it works fine. The slopes
c(3,-4) are recovered correctly.

:-)

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