heckit2fit function

2-step Heckman (heckit) estimation

These functions do the actual fitting of tobit-2 (sample selection), tobit-5 (switching regression) and normal-disturbance treatment effect models by the 2-step Heckman (heckit) estimation. They are called by selection or heckit and they are intended for sampleSelection internal use.

heckit2fit( selection, outcome, data=sys.frame(sys.parent()),
   weights = NULL, inst = NULL,
   printLevel=print.level, print.level = 0,
   maxMethod = "Newton-Raphson" )

heckit5fit( selection, outcome1, outcome2, data = sys.frame(sys.parent()),
   ys = FALSE, yo = FALSE, xs = FALSE, xo = FALSE, mfs = FALSE,
   mfo = FALSE,
   printLevel=print.level, print.level = 0, maxMethod = "Newton-Raphson", ... )

heckitTfit(selection, outcome, data=sys.frame(sys.parent()),
   ys=FALSE, yo=FALSE, xs=FALSE, xo=FALSE, mfs=FALSE, mfo=FALSE,
   printLevel=0, maxMethod="Newton-Raphson", ... )

Arguments

• selection: formula for the probit estimation (1st step) (see selection).

• outcome: formula to be estimated (2nd step). In case of treatment effect model, it may include the response indicator from selection equation.

• outcome1: formula, the first outcome equation.

• outcome2: formula, the second outcome equation.

• data: a data frame containing the data.

• weights: an optional vector of prior weights

  to be used in the fitting process. Should be NULL or a numeric vector. Weights are currently only supported in type-2 models.

• inst: an optional one-sided formula specifying instrumental variables for a 2SLS/IV estimation on the 2nd step.

• ys, yo, xs, xo, mfs, mfo: logicals. If true, the response (y), model matrix (x) or the model frame (mf) of the selection (s) or outcome (o) equation(s) are returned.

• print.level: numeric, values greater than 0 will produce increasingly more debugging information.

• maxMethod: character string, a maximisation method supported by maxLik

  that is used for estimating the probit model (1st stage).

• ...: currently not used.

Returns

see selection.

References

see selection.

Author(s)

Arne Henningsen, Ott Toomet otoomet@ut.ee

See Also

selection, heckit