sampleSelection (version 1.2-12)

vcov.selection: Extract Variance Covariance Matrix

Description

This function extracts the coefficient variance-covariance matrix from sample selection models.

Usage

# S3 method for selection
vcov(object, part = "full", ...)

Arguments

object

object of class "selection".

part

character string indicating which parts of the variance-covariance matrix to extract: "full" for all parameters (selection estimates, outcome estimates, error variance and correlation, including parameters that were calculated based on estimated parameters), "outcome" for the outcome estimates only (including the coefficient of the inverse Mill's ratio in case of a two-step estimation), or "est" for all estimated parameters.

…

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, and selection-methods.

Examples

# NOT RUN {
## 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" )
# }