[R] Unable to reproduce Stata Heckman sample selection estimates

[Arne Henningsen]

On 25 November 2011 04:37, Yuan Yuan <y.yuan at vt.edu> wrote:
> 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.

Yes, please provide more information (see also the posting guide [1]),
e.g. which version of R and which version of the sampleSelection
package are you using? Do you estimate the model by the two-step
approach or by the 1-step maximum likelihood method? Which commands
did use use? Can you send us a reproducible example? Have you read the
paper about using the sampleSelection package [2]?

[1] http://www.r-project.org/posting-guide.html
[2] http://www.jstatsoft.org/v27/i07

Best wishes from copenhagen,
Arne

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