vcov.selection {sampleSelection} | R Documentation |
Extract Variance Covariance Matrix
Description
This function extracts the coefficient variance-covariance matrix from sample selection models.
Usage
## S3 method for class 'selection'
vcov(object, part = "full", ...)
Arguments
object |
object of class "selection". |
part |
character string indicating which parts
of the variance-covariance matrix to extract:
|
... |
currently not used. |
Details
The variance-covariance matrix of a two-step estimate is currently only partly implemented. The unimplemented part of the matrix is filled with NAs.
Value
the estimated variance covariance matrix of the coefficients.
Author(s)
Arne Henningsen, Ott Toomet otoomet@ut.ee
See Also
vcov
, selection
,
coef.selection
, and selection-methods
.
Examples
## Estimate a simple female wage model taking into account the labour
## force participation
data(Mroz87)
a <- heckit(lfp ~ huswage + kids5 + mtr + fatheduc + educ + city,
log(wage) ~ educ + city, data=Mroz87)
## extract the full variance-covariance matrix:
vcov( a )
## now extract the variance-covariance matrix of the outcome model only:
vcov( a, part = "outcome" )