Heckman's two-step method

Estimate model parameters via two-step method

step2(YS, XS, YO, XO)

Arguments

YS

Selection vector.

XS

Selection Matrix.

YO

Interest vector.

XO

Matrix of the equation of interest.

Value

Returns a numerical vector with the parameter estimates of the Classical Heckman model via a two-step method. For more information see Heckman (1979)

References

James J Heckman (1979). “Sample selection bias as a specification error.” Econometrica: Journal of the econometric society, 153--161.

Examples

data(MEPS2001)
attach(MEPS2001)
#> The following objects are masked from PSID2:
#> 
#>     age, educ
#> The following objects are masked from data:
#> 
#>     age, educ, income
#> The following objects are masked from data3:
#> 
#>     age, educ, income
#> The following objects are masked from nhanes:
#> 
#>     age, educ, income
#> The following objects are masked from Mroz87 (pos = 7):
#> 
#>     age, educ
#> The following objects are masked from MEPS2001 (pos = 8):
#> 
#>     age, age2, agefem, ambexp, blhisp, dambexp, dhospexp, educ,
#>     fairpoor, female, ffs, good, hospexp, income, ins, instype,
#>     instype_s1, lambexp, lnambx, totchr, vgood, year01
#> The following objects are masked from MEPS2001 (pos = 9):
#> 
#>     age, age2, agefem, ambexp, blhisp, dambexp, dhospexp, educ,
#>     fairpoor, female, ffs, good, hospexp, income, ins, instype,
#>     instype_s1, lambexp, lnambx, totchr, vgood, year01
#> The following objects are masked from MEPS2001 (pos = 10):
#> 
#>     age, age2, agefem, ambexp, blhisp, dambexp, dhospexp, educ,
#>     fairpoor, female, ffs, good, hospexp, income, ins, instype,
#>     instype_s1, lambexp, lnambx, totchr, vgood, year01
#> The following objects are masked from Mroz87 (pos = 11):
#> 
#>     age, educ
#> The following objects are masked from MEPS2001 (pos = 12):
#> 
#>     age, age2, agefem, ambexp, blhisp, dambexp, dhospexp, educ,
#>     fairpoor, female, ffs, good, hospexp, income, ins, instype,
#>     instype_s1, lambexp, lnambx, totchr, vgood, year01
#> The following objects are masked from MEPS2001 (pos = 13):
#> 
#>     age, age2, agefem, ambexp, blhisp, dambexp, dhospexp, educ,
#>     fairpoor, female, ffs, good, hospexp, income, ins, instype,
#>     instype_s1, lambexp, lnambx, totchr, vgood, year01
#> The following objects are masked from MEPS2001 (pos = 14):
#> 
#>     age, age2, agefem, ambexp, blhisp, dambexp, dhospexp, educ,
#>     fairpoor, female, ffs, good, hospexp, income, ins, instype,
#>     instype_s1, lambexp, lnambx, totchr, vgood, year01
#> The following objects are masked from MEPS2001 (pos = 15):
#> 
#>     age, age2, agefem, ambexp, blhisp, dambexp, dhospexp, educ,
#>     fairpoor, female, ffs, good, hospexp, income, ins, instype,
#>     instype_s1, lambexp, lnambx, totchr, vgood, year01
YS <- dambexp
XS <- cbind(age, female, educ, blhisp, totchr, ins)
YO <- lnambx
XO <- cbind(age, female, educ, blhisp, totchr, ins, income)
step2(YS, XS, YO, XO)
#>        XSage     XSfemale       XSeduc     XSblhisp     XStotchr        XSins 
#>  0.041950311  0.629046530  0.035839783 -0.458985308  0.785774049  0.182828788 
#>        XOage     XOfemale       XOeduc     XOblhisp     XOtotchr        XOins 
#>  0.450637479  1.262172664  0.182049809 -0.649939053  1.134936458  0.247641171 
#>     XOincome        sigma          rho 
#> -0.002021763  2.620419828  1.639810343