1. Cox and Snell’s, Nagelkerke’s, and McFadden’s pseudo-R-square statistics can be used in ordinal regression to estimate the variance explained by the independent variable. But I do not know how I can get these measures in SAS.
2. I can get AUROC of ordinal regression model for training sample. I want to test this model in the holdout sample and get the AUROC for holdout sample. I can get the predicted probability. But how can I get the predicted category, the AUROC for holdout sample and the pseudo-R-square statistics for holdout sample?
You can get the Cox and Snell and the Nagelkerke R-squares by simply adding the RSQUARE option in your MODEL statement. This option can be used with ordinal models. However, these R-squares don't really have the same "variance explained' interpretation as in ordinary least squares regression. They can be used to compare competing models. The ROC curve and the area under it are only defined for the binary response case and so are not available for the ordinal model.