Description Details Author(s) References See Also Examples
Package provides a set of tools for robust estimation and inference for models with sample selectivity and endogenous treatment model.
Package: | ssmrob |
Type: | Package |
Version: | 1.0 |
Date: | 2021-08-18 |
License: | GPL-2 |
Mikhail Zhelonkin, Marc G. Genton, Elvezio Ronchetti
Maintainer: Mikhail Zhelonkin <Mikhail.Zhelonkin@gmail.com>
Heckman, J.J. (1979) Sample Selection Bias as a Specification Error. Econometrica, 47, p. 153-161.
Zhelonkin, M., Genton M.G., and Ronchetti, E. (2016) Robust Inference in Sample Selection Models. Journal of the Royal Statistical Society, Series B, 78, p. 805-827. doi: 10.1111/rssb.12136
Zhelonkin, M., Ronchetti, E. (2021) Robust Analysis of Sample Selection Models through the R Package ssmrob. Journal of Statistical Software, 99, 4, p. 1-35. doi: 10.18637/jss.v099.i04
ssmrob
, etregrob
, heckitrob
, heckit5rob
, selection
1 2 3 4 5 6 | # Zhelonkin, Genton, Ronchetti (2016): page 823
data(MEPS2001)
selectEq <- dambexp ~ age + female + educ + blhisp + totchr + ins
outcomeEq <- lnambx ~ age + female + educ + blhisp + totchr + ins
meps.fit <- ssmrob(selectEq, outcomeEq, data = MEPS2001, control = heckitrob.control(tcc = 3.2))
summary(meps.fit)
|
Call:
ssmrob(selection = selectEq, outcome = outcomeEq, data = MEPS2001,
control = heckitrob.control(tcc = 3.2))
Heckman selection model / robust 2-step M-estimation
3328 observations: 526 censored and 2802 observed
Probit selection equation:
Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.74914 0.19507 -3.840 1.23e-04 ***
age 0.10541 0.02770 3.806 1.41e-04 ***
femaleTRUE 0.68741 0.06226 11.040 2.41e-28 ***
educ 0.07012 0.01147 6.116 9.62e-10 ***
blhispTRUE -0.39775 0.06265 -6.349 2.17e-10 ***
totchr 0.83284 0.08028 10.370 3.24e-25 ***
insTRUE 0.18256 0.06371 2.865 4.17e-03 **
Outcome equation:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 5.40154 0.27673 19.520 7.53e-85 ***
age 0.20062 0.02451 8.186 2.70e-16 ***
femaleTRUE 0.25501 0.06993 3.647 2.66e-04 ***
educ 0.01325 0.01162 1.141 2.54e-01
blhispTRUE -0.15508 0.06507 -2.383 1.72e-02 *
totchr 0.48116 0.03823 12.590 2.52e-36 ***
insTRUE -0.06707 0.05159 -1.300 1.94e-01
IMR1 -0.67676 0.25928 -2.610 9.05e-03 **
---
Signif. codes: 0 `***' 0.001 `**' 0.01 `*' 0.05 `.' 0.1 ` ' 1
sigma 1.317891
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