opsr_2step {OPSR} | R Documentation |
Heckman Two-Step Estimation
Description
This is a utility function, used in opsr
and should not be used directly.
Tow-step estimation procedure to generate reasonable starting values.
Usage
opsr_2step(W, Xs, Z, Ys)
Arguments
W |
matrix with explanatory variables for selection process. |
Xs |
list of matrices with expalanatory varialbes for outcome process for each regime. |
Z |
vector with ordinal outcomes (in integer increasing fashion). |
Ys |
list of vectors with continuous outcomes for each regime. |
Details
These estimates can be retrieved by specifying .get2step = TRUE
in opsr
.
Value
Named vector with starting values passed to opsr.fit
.
Remark
Since the Heckman two-step estimator includes an estimate in the second step regression, the resulting OLS standard errors and heteroskedasticity-robust standard errors are incorrect (Greene 2002).
References
Greene WH (2002). LIMDEP Version 8.0 Econometric Modeling Guide, vol. 2.. Econometric Software, Plainview, New York.