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

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
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