I stumbled upon this question on Stack, where someone asked how to get the residuals from a
polr regression, to which Ben Bolker answers as follows:
My question now is:
I would like to use a control function (CF) / two stage residual inclusion (2SRI) with a
polr in the first stage. I was wondering if any of these different suggestions on how to calculate the residuals from the polr would be suitable for this purpose (if someone could show me how to do that in R, that would be amazing).
The normal 2SLS approach would be to include the fitted values of polr (which exist as the probabilities of each level of the ordinal var), but the result would be inconsistent when mimicking the 2SLS (by using the fitted values), and I don't know any software that does an ordinal-2SLS directly.