micEcon (version 0.4-0)

vcov.selection: 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 indication which parts of the variance-covariance matrix to extract: "full" for all estimated parameters (selection estimates, outcome estimates, error variance and correlation) or "outcome" for the outcome estimat

...

currently not used.

Value

• the estimated variance covariance matrix of the coefficients.

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.

See Also

vcov, selection, coef.selection.

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" )