coef.msel: Coefficients extraction method for msel.
In switchSelection: Endogenous Switching and Sample Selection Regression Models

coef.msel

R Documentation

Coefficients extraction method for msel.

Description

Extract coefficients and other estimates from msel object.

Usage

## S3 method for class 'msel'
coef(
  object,
  ...,
  eq = NULL,
  eq2 = NULL,
  eq3 = NULL,
  regime = NULL,
  type = "coef"
)

Arguments

`object`	an object of class "msel".
`...`	further arguments (currently ignored).
`eq`	an integer representing the index of the ordered equation.
`eq2`	an integer representing the index of the continuous equation.
`eq3`	an integer representing the index of the alternative of the multinomial equation.
`regime`	an integer representing a regime of the continuous equation.
`type`	a character representing a type of the output. Possible options are `"coef"`, `"coef2"`, `coef_lambda`, `"coef_var"`, `"coef3"`, `"cuts"`, `"cov"`, `"cov1"`, `"var"`, `"cov2"`, `"cov3"`, and `marginal`. See 'Details' for additional information.

Details

Consider the notations from the 'Details' section of msel.

Mean coefficients of the ordinal equations

Suppose that type = "coef". Then estimates of the \gamma_{j} coefficients are returned for each j\in\{1,...,J\}. If eq = j then only estimates of the \gamma_{j} coefficients are returned.

Variance coefficients of the ordinal equations

Suppose that type = "coef_var". Then estimates of the \gamma_{j}^{*} coefficients are returned for each j\in\{1,...,J\}. If eq = j then only estimates of \gamma_{j}^{*} coefficients are returned.

Coefficients of the continuous equations

Suppose that type = "coef2". Then estimates of the \beta_{r} coefficients are returned for each r\in\{0,...,R - 1\}. If eq2 = k then only estimates for the k-th continuous equation are returned. If regime = r then estimates of the \beta_{r} coefficients are returned for the eq2-th continuous equation. Herewith if regime is not NULL and eq2 is NULL it is assumed that eq2 = 1.

Selectivity terms

Suppose that type = "coef_lambda". Then estimates of the coefficients associated with the selectivity terms are returned for each r\in\{0,...,R - 1\}. If eq2 = k then only estimates for the k-th continuous equation are returned. If regime = r then estimates of the coefficients of the selectivity terms are returned for the eq2-th continuous equation.

Thresholds of the ordinal equations

Suppose that type = "cuts" or type = "thresholds". Then estimates of the c_{j} cuts (thresholds) are returned for each j\in\{1,...,J\}. If eq = j then only estimates of the c_{j} cuts are returned.

Covariances between the random errors of the ordinal equations

Suppose that type = "cov1". Then estimate of the covariance matrix of u_{i} is returned. If eq = c(a, b) then the function returns (a, b)-th element of this matrix i.e. an element from the a-th row and the b-th column which represents an estimate of Cov(u_{ai}, u_{bi}).

Covariances between the random errors of the ordinal and continuous equations

Suppose that type = "cov12". Then estimates of the covariances between random errors of the ordinal u_{i} and cotninuous \varepsilon_{i} equations are returned. If eq2 = k then covariances with random errors of the k-th continuous equation are returned. If in addition eq = j and regime = r then the function returns an estimate of Cov(u_{ji}, \varepsilon_{ri}) for the k-th continuous equation. If eq2 = NULL it is assumed that eq2 = 1.

Variances of the random errors of the continuous equations

Suppose that type = "var". Then estimates of the variances of \varepsilon_{i} are returned. If eq2 = k then estimates only for the k-th continuous equation are returned. If in addition regime = r then estimate of the Var(\varepsilon_{ri}) is returned. Herewith if regime is not NULL and eq2 is NULL it is assumed that eq2 = 1.

Covariances between the random errors of the continuous equations

Suppose that type = "cov2". Then estimates of the covariances between random errors of different continuous equations in different regimes are returned. If eq2 = c(a, b) and regime = c(c, d) then function returns an estimate of the covariance of random errors of the a-th and b-th continuous equations in the regimes c and d correspondingly. If this covariance is not identifiable then NA value is returned.

Coefficients of the multinomial equation

Suppose that type = "coef3". Then estimates of the \tilde{\gamma}_{j} coefficients are returned for each j\in\{0,...,\tilde{J} - 1\}. If eq3 = j then only estimates of the \tilde{\gamma}_{j} coefficients are returned.

Covariances between the random errors of the multinomial equations

Suppose that type = "cov3". Then estimate of the covariance matrix of \tilde{u}_{i} is returned. If eq3 = c(a, b) then the function returns (a, b)-th element of this matrix i.e. an element from the a-th row and the b-th column which represents an estimate of Cov(\tilde{u}_{(a+1)i}, \tilde{u}_{(b+1)i}).

Parameters of the marginal distributions

Suppose that type = "marginal". Then a list is returned which j-th element is a numeric vector of estimates of the parameters of the marginal distribution of u_{ji}.

Asymptotic covariance matrix

Suppose that type = "cov". Then estimate of the asymptotic covariance matrix of the estimator is returned. Note that this estimate depends on the cov_type argument of msel.