Dear Arne, thank you very much!
Best, Johannes -----Ursprüngliche Nachricht----- Von: Arne Henningsen [mailto:arne.henning...@gmail.com] Gesendet: Samstag, 19. September 2015 07:07 An: Johannes Muck <m...@econ.uni-frankfurt.de> Cc: r-help@r-project.org Betreff: Re: [R] Estimating Endogenous Selection Model Dear Johannes You can use function selection() of the sampleSelection package and estimate an endogenous switching regression ("tobit-5") model, where you have the selection equation to model investmentment vs. non-investment and you have two outcome equations, one for firms that invest and the other for firms that do not invest. Best regards, Arne On 18 September 2015 at 07:43, Johannes Muck <m...@econ.uni-frankfurt.de> wrote: > Dear all, > > I want to estimate a model in which individuals self-select into two > different actions (e.g. invest or not invest). Moreover, the factors > that influence the selection decision also affect the ultimate outcome > variable (e.g. return on investment). That is, I want to estimate a > model with endogenous selection. > > My question is: Which R package supports this kind of estimation? > To me it seems like the package sampleSelection > (https://cran.r-project.org/web/packages/sampleSelection/sampleSelecti > on.pdf > ) can only be used in case of a SAMPLE selection, i.e. in the example above: > only individuals that invest are observed. Yet in my case, both > actions are observed but the decision which action to choose is > endogenous. Or does this package also support self-selection models? > > Thank you very much in advance. > > Best, > > Johannes > > ______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > 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. -- Arne Henningsen http://www.arne-henningsen.name ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see 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.
