Re: [Gretl-devel] Forecast based on ordered probit

Dear Arthur, Predicting probabilties for odered probit are very easy to be user-written, one can use  oprobit_predict as s helper; the more interesting thing is what to do with confidence intervals: for ordinary probit the probs are F(x'b), where F() is monotonous, so we could compute an interval for x'b, say [i_1,i_2], and use F( [i_1,i_2] ); for ordered probit using delta-method could give interval ends outside of [0;1] Oleh 16 грудня 2015, 17:37:11, від "Artur Tarassow" < artur.tarassow(a)googlemail.com >: Dear all, I just trying to run some forecasts based on an ordered probit regression model and detected some (maybe?) slight inconsistency -- if any. Using the fcast command returns for the BINARY PROBIT the estimated probabilties, but for the ORDERED PROBIT a series of the predicted response at each observation (the response for which the estimated probability is highest). However, I would like to estimate using the ORDER PROBIT the forecasted probabilties using Jack's "oprobit_predict" function for which I would need forecast of the z-hat values. Here is an example: <hansl> clear set messages off set echo off open ukppp.gdt -q series B = (diff(e12)>0) # binary series C = 0 # ordered (3 classes) C = (diff(e12)>=-0.02 && diff(e12)<0.07) + 2*(diff(e12)>=0.07) # Set tranining sample smpl ; 1986:1 # Binary Probit probit B 0 doilp0 --quiet fcast --out-of-sample # Ordered Probit probit C 0 doilp0 --quiet fcast --out-of-sample </hansl> Best, Artur _______________________________________________ Gretl-devel mailing list Gretl-devel(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-devel