Sample Selection Models in R : Package sampleSelection

This paper describes the implementation of Heckman-type sample selection models in R. We discuss the sample selection problem as well as the Heckman solution to it, and argue that although modern econometrics has non- and semiparametric estimation methods in its toolbox, Heckman models are an integr...

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Bibliographic Details
Published in:Journal of statistical software 2008, Vol.27 (7)
Main Authors: Toomet, Ott, Henningsen, Arne
Format: Article
Language:English
Subjects:
econometrics
Heckman selection models
sample selection models
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Summary:This paper describes the implementation of Heckman-type sample selection models in R. We discuss the sample selection problem as well as the Heckman solution to it, and argue that although modern econometrics has non- and semiparametric estimation methods in its toolbox, Heckman models are an integral part of the modern applied analysis and econometrics syllabus. We describe the implementation of these models in the package sampleSelection and illustrate the usage of the package on several simulation and real data examples. Our examples demonstrate the effect of exclusion restrictions, identification at infinity and misspecification. We argue that the package can be used both in applied research and teaching.
ISSN:1548-7660
1548-7660
DOI:10.18637/jss.v027.i07