| vcov.selection {micEcon} | R Documentation |
This function extracts the coefficient variance-covariance matrix from sample selection models.
## S3 method for class 'selection': vcov(object, part = "full", ...)
object |
object of class "selection". |
part |
character string indication which parts of the variance-covariance matrix to extract: "full" for all estimated parameters (selection estimates, outcome estimates, error variance and correlation) or "outcome" for the outcome estimates only (including the coefficient of the inverse Mill's ratio in case of a two-step estimation). |
... |
currently not used. |
The variance-covariance matrix of a two-step estimate is currently only partly implemented. The unimplemented part of the matrix is filled with NAs.
the estimated variance covariance matrix of the coefficients.
Arne Henningsen ahenningsen@agric-econ.uni-kiel.de, Ott Toomet otoomet@ut.ee
vcov, selection,
coef.selection.
## 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" )