vcov.selection: Extract Variance Covariance Matrix
In sampleSelection: Sample Selection Models

Description Usage Arguments Details Value Author(s) See Also Examples

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

1 2	## S3 method for class 'selection' vcov(object, part = "full", ...)

`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.

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, Ott Toomet otoomet@ut.ee

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

## 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" )