I currently have a continuous variable. However, I would like to transform it into 5 intervals using cutpoints of my choosing to carry out an ordered logit estimation.
Will this affect the estimation?
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Ordinal regression, if programmed efficiently, can handle any number of discrete values of $Y$. For example, in the R
rms package, the
orm function can fit a variety of ordinal models (proportional odds, proportional hazards, probit, ...) when there are thousands of possible $Y$ values. Categorization is arbitrary and information-losing. The only issue is that the information matrix is sparse and you need to capitalize on that so as to never have to invert huge matrices to get the covariance matrix.
orm does that.