[R] heteroskedastic ordered probit

From: Rendas-Baum, Regina <Regina_Rendas-Baum_at_brown.edu>
Date: Sat 08 Jul 2006 - 13:12:37 EST


Dear all,  

is there existing code to fit a ordinal regression model with probit link where the variance can be modeled? For example, the polr function from the MASS package fits:  

probitP(Y <= k | x) = zeta_k - eta

Instead of,  

probitP(Y <= k | x) = (zeta_k - eta)/scale, where scale = exp(b*z)  

which is what I need.  

I've seen these models go by the name of heteroskedastic ordered probit, location-scale glms, generalized nonlinear models, ... . I know the package gnlm (Jim Lindsey) has a function to fit this model using the logit link, so I'm wondering if this is already done in R using probit instead.  

Thanks.  

Regina



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