You want to include religious affiliation as a predictor in a regression model, using the categories Protestant,

Question:

You want to include religious affiliation as a predictor in a regression model, using the categories Protestant, Catholic, Jewish, Other. You set up a variable x1 that equals 1 for Protestants, 2 for Catholics, 3 for Jewish, and 4 for Other, using the model μy = α + βx1. Explain why this is inappropriate.