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 [EMAIL PROTECTED] Department of Economics
vox: 217-333-4558 University of Illinois
fax: 217-244-6678 Champaign, IL 61820
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