HeckmanEM.infomat: Standard error estimation for the Heckman Selection model by...

In HeckmanEM: Fit Normal or Student-t Heckman Selection Models

Standard error estimation for the Heckman Selection model by the Information Matrix

Description

'HeckmanEM.infomat()' estimates the standard errors for the parameters for the fitted Heckman selection model.

Usage

HeckmanEM.infomat(obj)

Arguments

obj	An object of the class HeckmanEM.

Value

The estimated standard errors for the parameters of the fitted model.

Examples

n <- 100
family <- "T"
nu <- 4
rho <- .6
cens <- .25

set.seed(20200527)
w <- cbind(1,runif(n,-1,1),rnorm(n))
x <- cbind(w[,1:2])
c <- qt(cens, df=nu)

sigma2 <- 1

beta <- c(1,0.5)
gamma <- c(1,0.3,-.5)
gamma[1] <- -c*sqrt(sigma2)

set.seed(1)
datas <- rHeckman(x,w,beta,gamma,sigma2,rho,nu,family=family)
y <- datas$y
cc <- datas$cc

res <- HeckmanEM(y, x, w, cc, nu = 4, family = "Normal", error = 1e-05, iter.max = 500,
                 im = FALSE, criteria = TRUE)
im <- HeckmanEM.infomat(res)

HeckmanEM documentation built on July 9, 2023, 6:35 p.m.