Hello, I am working on reproducing someone's analysis which was done in Stata. The analysis is estimation of a standard Heckman sample selection model (Tobit-2), for which I am using the sampleSelection package and the selection() function. I have a few problems with the estimation:
1) The reported standard error for all estimates is Inf ... vcov(selectionObject) yields Inf in every cell. 2) While the selection equation coefficient estimates are almost exactly the same as the Stata results, the outcome equation coefficient estimates are quite different (different sign in one case, order of magnitude difference in some other cases). 3) I can't seem to figure out how to specify the initial values for the MLE ... whatever argument I pass to start (even of the form coef(selectionObject)), I get the following error: Error in gr[, fixed] <- NA : (subscript) logical subscript too long I have to admit I am pretty confused by #1, I feel like I must be doing something wrong, missing something obvious, but I have no idea what. I figure #2 might be because the algorithms (selection and Stata) are just finding different local maxima, but because of #3 I can't test that guess by using different initial values in selection. Let me know if I should provide any more information. Thanks in advance for any pointers in the right direction. - Clara ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.