Estimates the parameters of the classical Heckman sample selection model using the two-step procedure.
Usage
twostep(selection, outcome, data = sys.frame(sys.parent()))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).
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.
References
There are no references for Rd macro \insertAllCites on this help page.
For details, see Heckman (1979)
.
Examples
data(MEPS2001)
attach(MEPS2001)
#> The following objects are masked from MEPS2001 (pos = 3):
#>
#> 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 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 = 8):
#>
#> age, educ
#> 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 MEPS2001 (pos = 11):
#>
#> 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 = 12):
#>
#> age, educ
#> 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
selectEq <- dambexp ~ age + female + educ + blhisp + totchr + ins + income
outcomeEq <- lnambx ~ age + female + educ + blhisp + totchr + ins
twostep(selectEq, outcomeEq, data = MEPS2001)
#> XS(Intercept) XSage XSfemale XSeduc XSblhisp
#> -0.668643899 0.086814848 0.663505390 0.061883892 -0.365784312
#> XStotchr XSins XSincome XO(Intercept) XOage
#> 0.795747277 0.169106526 0.002677301 5.288927373 0.202466773
#> XOfemale XOeduc XOblhisp XOtotchr XOins
#> 0.292133967 0.012388871 -0.182865733 0.500633176 -0.046509658
#> phi.IMR IMR
#> 1.290541875 -0.359316986