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RE: st: Test of ordered probit vs ordinary probits


From   Richard Williams <Richard.A.Williams.5@nd.edu>
To   statalist@hsphsun2.harvard.edu, <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Test of ordered probit vs ordinary probits
Date   Wed, 31 Oct 2007 16:16:48 -0400

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.


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Richard Williams, Notre Dame Dept of Sociology
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EMAIL: Richard.A.Williams.5@ND.Edu
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