Variance-Covariance with Cluster Correction for Heckman Models

The vcovCL.heckmanGE function computes the variance-covariance matrix of a Heckman model, applying a cluster correction. This is useful for obtaining robust variance estimates, especially when there is within-group dependence.

Usage

vcovCL.heckmanGE(
  x,
  cluster = NULL,
  type = NULL,
  sandwich = TRUE,
  fix = FALSE,
  ...
)

Arguments

x

An object resulting from the estimation of a Heckman model using the heckmanGE method.

cluster

A vector or factor identifying clusters in the data. If NULL, assumes no clustering.

type

A character string specifying the type of cluster correction to be applied. It can be "HC0", "HC1", "HC2", or "HC3".

sandwich

A logical value. If TRUE, the function applies the sandwich estimator to the variance-covariance matrix.

fix

A logical value. If TRUE, corrects any negative eigenvalues in the variance-covariance matrix.

...

Additional arguments that can be passed to internal methods.

Value

A corrected variance-covariance matrix.

Details

This function is a specialized implementation for obtaining a robust variance-covariance matrix from Heckman models estimated with heckmanGE. It allows for cluster correction, which is particularly important in contexts where observations within groups may not be independent.

See also

meatCL.heckmanGE(), sandwich.heckmanGE(), bread.heckmanGE()