how to estimate the ordered probit model by using MLE, please give the code
时间: 2024-02-17 14:05:12 浏览: 81
GMMEMDEMO.zip_the code
To estimate the ordered probit model using Maximum Likelihood Estimation (MLE), you can use the "VGAM" package in R. Here is an example code:
```R
# Load the "VGAM" package
library(VGAM)
# Load the data (in this example, we use the "Prestige" dataset)
data(Prestige)
# Define the dependent and independent variables
y <- Prestige$prestige
x1 <- Prestige$education
x2 <- Prestige$income
# Define the log-likelihood function for the ordered probit model
loglik <- function(theta, y, X) {
mu <- X %*% theta
p <- pnorm(c(-Inf, mu[-length(mu)], Inf))
lp <- diff(p)
lp[y == length(p)] <- p[y == length(p)]
ll <- sum(log(lp))
return(-ll)
}
# Estimate the ordered probit model using MLE
op <- vglm(y ~ x1 + x2, family = cumulative(parallel = TRUE),
weights = rep(1, length(y)),
control = list(maxit = 1000, trace = TRUE),
initdata = data.frame("estimate" = c(0, 0, 0)),
coef = TRUE,
method = "BFGS",
crit = 1e-6,
loglik = loglik,
X = cbind(1, x1, x2))
# Print the summary of the model
summary(op)
```
In this example, we define the log-likelihood function for the ordered probit model, which takes the parameter vector `theta`, the dependent variable `y`, and the independent variables `X` as input and returns the negative log-likelihood. We then use the `vglm` function to estimate the model using MLE. The `family` argument specifies the cumulative link function, and the `weights` argument specifies the weighting scheme. The `initdata` argument specifies the initial values for the optimization procedure. The `loglik` argument specifies the log-likelihood function, and the `X` argument specifies the design matrix. Finally, we print the summary of the model using the `summary` function.
Note that the exact code may vary depending on the dataset and software package used. Also, it is important to note that MLE can be more computationally intensive than other methods for estimating the ordered probit model.
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