[R] Heckman Selection MOdel Help in R

[Arne Henningsen]

Hi Saurav!

On Sun, Jul 12, 2009 at 6:06 PM, Pathak,
Saurav<s.pathak08 at imperial.ac.uk> wrote:
> I am new to R, I have to do a 2 step Heckman model, my selection equation is
> below which I was successful in running but I am unable to proceed further,
>
>
>
> I have so far used the following command
>
> glm(formula = s ~ age + gender + gemedu + gemhinc + es_gdppc +
>     imf_pop + estbbo_m, family = binomial(link = "probit"))
>
> My question is
> 1. How do i discard the non significant selection variables (one out of the
> seven variables above is non-significant) and calculate the Inverse Mills
> Ratio of the significant variables
>
> 2. I need the inverse mills ratio from the above to run the outcome equation
> model using OLS with the Inverse mills ratio calculated on the basis of the
> above probit as the control in my outcome equation,  hence I need to get the
> IMR (Is there another direct way?)
>
> 3. How can this be done in R using my concept or otherwise does there exist
> another way of doing what I wish to achieve
>
>
>
> On trying
>
> regmod <- heckit(s ~ age + gender + gemedu + gemhinc + es_gdppc +
>
>     imf_pop + estbbo_m, ln_oy5_1 ~ age+ gender+fearfail+gemedu,
> adpopdata,method="2step")
>
>
>
> I get
>
> Error: could not find function "heckit"
>
>
>
> Error: could not find function "invMillsRatio"
>
>
>
> Am I missing out something, do i have to install something apart from R
> also, so far I have used
>
>
>
> install.packages( "sampleSelection", repos="http://R-Forge.R-project.org" )
>
> install.packages("Rcmdr", dependencies=TRUE)
>
>
>
> Even then I am unable to run heckit, please help

You have to install (only once) and *load* the package before you can use it:
R> library( "sampleSelection" )

I suggest that you do NOT use function "heckit" but function
"selection", because the latter allows you to estimate the model both
by the 2-step and the 1-step (ML) method (depending on argument
"method").

Our paper about the sampleSelection package published in the JSS could
be also helpful for you:
http://www.jstatsoft.org/v27/i07/

Arne

-- 
Arne Henningsen
http://www.arne-henningsen.name