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Heckman regression / adjustment for standard errors?
2 messages · Brian Perron, Arne Henningsen
3 days later
Hi Brian,
On Friday 17 February 2006 22:30, Brian Perron wrote:
Hello folks, I am trying to estimate the two-step Heckman regression model. I would like to make an adjustment for intragroup correlations. Stata can implement this with the "cluster" option, but I am really hoping to stick with R. It seems that the micEcon package is the primary source for this two-step regression model (i.e., heckit), but I can't find a way to make the adjustment. Am I overlooking something with this package or other packages?
The heckit() function in the micEcon package definitively has no "cluster" option. Unfortunately, I don't know anything about adjustment for intragroup correlations in heckman type estimations. Is this difficult to implement? Do you know a description of this procedure? (Maybe we can do this together.) Arne
Brian [[alternative HTML version deleted]]
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Arne Henningsen Department of Agricultural Economics University of Kiel Olshausenstr. 40 D-24098 Kiel (Germany) Tel: +49-431-880 4445 Fax: +49-431-880 1397 ahenningsen at agric-econ.uni-kiel.de http://www.uni-kiel.de/agrarpol/ahenningsen/