[R] Estimating Endogenous Selection Model

[Arne Henningsen]

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 <Muck at 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/sampleSelection.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
>
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-- 
Arne Henningsen
http://www.arne-henningsen.name