Hi Arne, Thanks for the reply.
I am using R version 2.14.0 and sampleSelection version 0.6.12. I estimate the model by the 1-step ML method. However, when I use the 2-step method, the standard errors are reported as NA. I use the selection() function, very basic call, something to the effect of: selection(selectionFormula, outcomeFormula, data = aDataFrame), where the formulas are very straightforward and basic as well, y ~ x1 + x2 + ... + xp. I have read the associated paper, which is where I got the idea to pass the coefficients from a seleciton object to the start argument. I will work on creating a minimal reproducible example; the dataset is large and confidential, the models long-ish. - Clara On Friday, November 25, 2011 04:04:52 am Arne Henningsen wrote: > 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 ______________________________________________ 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.
