HeckmanGe {ssmodels}R Documentation

Generalized Heckman Model Estimation

Description

Fits a generalized Heckman sample selection model that allows for heteroskedasticity in the outcome equation and correlation of the error terms depending on covariates. The estimation is performed via Maximum Likelihood using the BFGS algorithm.

Usage

HeckmanGe(
  selection,
  outcome,
  outcomeS,
  outcomeC,
  data = sys.frame(sys.parent()),
  start = NULL
)

Arguments

selection

A formula specifying the selection equation.

outcome

A formula specifying the outcome equation.

outcomeS

A formula or matrix specifying covariates for the scale (variance) model.

outcomeC

A formula or matrix specifying covariates for the correlation model.

data

A data frame containing the variables in the model.

start

An optional numeric vector with starting values for the optimization.

Details

This function extends the classical Heckman selection model by incorporating models for the error term's variance (scale) and the correlation between the selection and outcome equations. The scale model (outcomeS) allows the error variance of the outcome equation to depend on covariates, while the correlation model (outcomeC) allows the error correlation to vary with covariates.

The optimization is initialized with default or user-supplied starting values, and the results include robust standard errors derived from the inverse of the observed Fisher information matrix.

Value

A list containing:

References

Fernando de Souza Bastos, Wagner Barreto-Souza, Marc G Genton (2022). “A Generalized Heckman Model With Varying Sample Selection Bias and Dispersion Parameters.” Statistica Sinica.

Examples

## Not run: 
data(MEPS2001)
attach(MEPS2001)
selectEq <- dambexp ~ age + female + educ + blhisp + totchr + ins + income
outcomeEq <- lnambx ~ age + female + educ + blhisp + totchr + ins
outcomeS <- ~ educ + income
outcomeC <- ~ blhisp + female
HeckmanGe(selectEq, outcomeEq, outcomeS = outcomeS, outcomeC = outcomeC, data = MEPS2001)

## End(Not run)


[Package ssmodels version 2.0.1 Index]