On 25 November 2011 04:37, Yuan Yuan <y.y...@vt.edu> wrote: > Hello, > > I am working on reproducing someone's analysis which was done in > Stata. The analysis is estimation of a standard Heckman sample > selection model (Tobit-2), for which I am using the sampleSelection > package and the selection() function. I have a few problems with the > estimation: > > 1) The reported standard error for all estimates is Inf ... > vcov(selectionObject) yields Inf in every cell. > > 2) While the selection equation coefficient estimates are almost > exactly the same as the Stata results, the outcome equation > coefficient estimates are quite different (different sign in one case, > order of magnitude difference in some other cases). > > 3) I can't seem to figure out how to specify the initial values for > the MLE ... whatever argument I pass to start (even of the form > coef(selectionObject)), I get the following error: > Error in gr[, fixed] <- NA : (subscript) logical subscript too long > > I have to admit I am pretty confused by #1, I feel like I must be > doing something wrong, missing something obvious, but I have no idea > what. I figure #2 might be because the algorithms (selection and > Stata) are just finding different local maxima, but because of #3 I > can't test that guess by using different initial values in selection. > > Let me know if I should provide any more information. Thanks in > advance for any pointers in the right direction.
Yes, please provide more information (see also the posting guide [1]), e.g. which version of R and which version of the sampleSelection package are you using? Do you estimate the model by the two-step approach or by the 1-step maximum likelihood method? Which commands did use use? Can you send us a reproducible example? Have you read the paper about using the sampleSelection package [2]? [1] http://www.r-project.org/posting-guide.html [2] http://www.jstatsoft.org/v27/i07 Best wishes from copenhagen, Arne -- Arne Henningsen http://www.arne-henningsen.name ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
