vcov.selection function

Extract Variance Covariance Matrix

This function extracts the coefficient variance-covariance matrix from sample selection models.

## S3 method for class 'selection'
vcov(object, part = "full", ...)

Arguments

• object: object of class "selection".
• part: character string indicating which parts of the variance-covariance matrix to extract: "full" for all parameters (selection estimates, outcome estimates, error variance and correlation, including parameters that were calculated based on estimated parameters), "outcome" for the outcome estimates only (including the coefficient of the inverse Mill's ratio in case of a two-step estimation), or "est" for all estimated parameters.
• ...: currently not used.

Details

The variance-covariance matrix of a two-step estimate is currently only partly implemented. The unimplemented part of the matrix is filled with NAs.

Returns

the estimated variance covariance matrix of the coefficients.

Author(s)

Arne Henningsen, Ott Toomet otoomet@ut.ee

See Also

vcov, selection, coef.selection, and selection-methods.

Examples

## Estimate a simple female wage model taking into account the labour
## force participation
   data(Mroz87)
   a <- heckit(lfp ~ huswage + kids5 + mtr + fatheduc + educ + city,
               log(wage) ~ educ + city, data=Mroz87)
## extract the full variance-covariance matrix:
vcov( a )
## now extract the variance-covariance matrix of the outcome model only:
vcov( a, part = "outcome" )