RE: st: Test of ordered probit vs ordinary probits

[Richard Williams <Richard.A.Williams.5@nd.edu>]

At 03:43 PM 10/31/2007, Schaffer, Mark E wrote:
> Thanks for all this.  My motivation for asking, though, was partly to
> see if I understood the FAQ and how these estimations work.  Put another
> way, I suspect that the end of Bill's FAQ should be changed from
>
> "with the constraint that the cofficients, but not the INTERCEPTS, are
> equal."
>
> to
>
> "with the constraints that the cofficients, but not the INTERCEPTS, are
> equal, and that /cut1 < /cut2."
>
> Can you or somebody else comment on this and/or on the question I asked,
> namely "Say we estimate two probits as above and test the constraint
> that the coefficients are equal.  Can we interpret this test as a test
> of probit vs. ordered probit?" ?
I see.  Well, apparently there is something wrong with your logic, 
because when we run your earlier test command, we get

. test [probit34]turn=[probit45]turn, accum

 ( 1)  [probit12]turn - [probit23]turn = 0
 ( 2)  [probit23]turn - [probit34]turn = 0
 ( 3)  [probit34]turn - [probit45]turn = 0

           chi2(  3) =   14.82
         Prob > chi2 =    0.0020

BUT, when you run omodel, you get

. omodel probit rep78 turn
...
Approximate likelihood-ratio test of equality of coefficients
across response categories:
         chi2(3) =      2.67
       Prob > chi2 =    0.4447

So, I think your general idea is right, but there is some kind of 
problem with the execution of it.  Perhaps the problem is that the 
individual probits do NOT put the ordering constraint on the 
constants.  I'll have to think about it.


-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
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