The weighted kappa statistic has been used as an agreement index for ordinal data. Using data on the comparability of primary and proxy respondent reports of alcohol drinking frequency we show that the value of weighted kappa can be sensitive to the choice of weights. The distinction between association and agreement is clarified and it is shown that in some respects weighted kappa behaves more like a measure of association than an index of agreement. In particular, it is demonstrated that the weighted kappa statistic is not always sensitive to differences in the observed proportion in exact agreement and that high values of weighted kappa can be observed even when the level of agreement is low. We illustrate the use of statistical models in the analysis of epidemiologic agreement data and conclude that modelling ordinal agreement data produces insights which cannot be obtained through the use of weighted kappa statistics.