R中的Heckman选择模型手动

Question

我想在 R 中手动计算 Heckman 选择模型。 我的问题是标准误差是有偏差的。有没有办法手动更正这些？

在我来自 sampleSelection 模型的（示例）代码（正确的 SE）和手动代码（正确的估计，错误的 SE）下方

 require(sampleSelection)

data( Mroz87 )
Mroz87$kids <- ( Mroz87$kids5 + Mroz87$kids618 > 0 )

使用 sampleSelection

heckman <- selection(selection = lfp ~ age + I(age^2) + faminc + kids + educ, outcome = wage ~ exper + I(exper^2) + educ + city, 
                                data = Mroz87, method = "2step")
summary(heckman)

手动

seleqn1 <- glm(lfp ~ age + I(age^2) + faminc + kids + educ, family=binomial(link="probit"), data=Mroz87)
summary(seleqn1)

# Calculate inverse Mills ratio by hand ##
Mroz87$IMR <- dnorm(seleqn1$linear.predictors)/pnorm(seleqn1$linear.predictors)

# Outcome equation correcting for selection ## ==> correct estimates, wrong SEs
outeqn1 <- lm(wage ~ exper + I(exper^2) + educ + city + IMR, data=Mroz87, subset=(lfp==1))
summary(outeqn1)

Answer 1

myprobit    <- probit(lfp ~ age + I(age^2) + faminc + kids + educ - 1, x = TRUE, 
                           iterlim = 30, data=Mroz87)

imrData     <- invMillsRatio(myprobit) # same as yours in this particular case
Mroz87$IMR1 <- imrData$IMR1

outeqn1     <- lm(wage ~ -1 + exper + I(exper^2) + educ + city + IMR1, 
                  data=Mroz87, subset=(lfp==1))

主要是你使用拦截模型而不是不拦截。