heckit {micEcon} | R Documentation |
heckit
performs a 2-step Heckman (heckit) estimation
that corrects for non-random sample selection.
heckit( formula, probitformula, data )
formula |
formula to be estimated |
probitformula |
formula for the probit estimation (1st step) |
data |
a data frame containing the variables in the model |
heckit
returns an object of class 'heckit' containing
following elements:
coef |
estimated coefficients, standard errors, t-values and p-values |
vcov |
variance covariance matrix of the estimated coefficients |
probit |
object of class 'glm' that contains the results of the 1st step (probit estimation). |
lm |
object of class 'lm' that contains the results of the
2nd step (linear estimation). Note: the standard errors of this
estimation are biased, because they do not account for the
estimation of gamma in the 1st step estimation
(the correct standard errors are returned in coef |
sigma |
the estimated σ, the standard error of the residuals. |
rho |
the estimated rho, see Greene (2003, p. 784). |
probitLambda |
the λs based on the results of the 1sr step probit estimation (also known as inverse Mills ratio). |
probitDelta |
the deltas based on the results of the 1sr step probit estimation. |
Arne Henningsen ahenningsen@agric-econ.uni-kiel.de
Greene, W. H. (2003) Econometric Analysis, Fifth Edition, Prentice Hall.
Johnston, J. and J. DiNardo (1997) Econometric Methods, Fourth Edition, McGraw-Hill.
Wooldridge, J. M. (2003) Introductory Econometrics: A Modern Approach, 2e, Thomson South-Western.
## Greene( 2003 ): example 22.8, page 786 data( Mroz87 ) Mroz87$kids <- ( Mroz87$kids5 + Mroz87$kids618 > 0 ) greene <- heckit( wage ~ exper + I( exper^2 ) + educ + city, lfp ~ age + I( age^2 ) + faminc + kids + educ, Mroz87 ) summary( greene ) # print summary summary( greene$probit ) # summary of the 1st step probit estimation # this is Example 21.4, p. 681f greene$sigma # estimated sigma greene$rho # estimated rho ## Wooldridge( 2003 ): example 17.5, page 590 data( Mroz87 ) wooldridge <- heckit( log( wage ) ~ educ + exper + I( exper^2 ), lfp ~ nwifeinc + educ + exper + I( exper^2 ) + age + kids5 + kids618, Mroz87 ) summary( wooldridge ) # summary of the 1st step probit estimation # (Example 17.1, p. 562f) and 2nd step OLS regression wooldridge$sigma # estimated sigma wooldridge$rho # estimated rho