twostep {ssmodels} | R Documentation |
Two-Step Estimation of the Classic Heckman Model
Description
Estimates the parameters of the classical Heckman sample selection model using the two-step procedure.
Usage
twostep(selection, outcome, data = sys.frame(sys.parent()))
Arguments
selection |
A formula for the selection equation. |
outcome |
A formula for the outcome equation. |
data |
A data frame containing the variables. |
Details
The two-step method first estimates a Probit model for the selection equation, then fits an outcome equation that includes the Inverse Mills Ratio (IMR) as an additional regressor to correct for sample selection bias.
Value
A numeric vector containing:
Estimated coefficients of the selection equation (Probit model),
Estimated coefficients of the outcome equation (excluding IMR),
Estimated standard deviation of the outcome errors (
phi
),Estimated correlation between the error terms (
cor
).
References
There are no references for Rd macro \insertAllCites
on this help page.
For details, see Heckman (1979).
Examples
data(MEPS2001)
attach(MEPS2001)
selectEq <- dambexp ~ age + female + educ + blhisp + totchr + ins + income
outcomeEq <- lnambx ~ age + female + educ + blhisp + totchr + ins
twostep(selectEq, outcomeEq, data = MEPS2001)