R help - Feb 2006 - Heckman regression / adjustment for standard errors?

Hello folks,

I am trying to estimate the two-step Heckman regression model.  I would like to
make an adjustment for intragroup correlations.  Stata can implement this with
the "cluster" option, but I am really hoping to stick with R.  It
seems that the micEcon package is the primary source for this two-step
regression model (i.e., heckit), but I can't find a way to make the
adjustment.  Am I overlooking something with this package or other packages?

Brian 

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Hi Brian,

On Friday 17 February 2006 22:30, Brian Perron wrote:
> Hello folks,
>
> I am trying to estimate the two-step Heckman regression model.  I would
> like to make an adjustment for intragroup correlations.  Stata can
> implement this with the "cluster" option, but I am really hoping
to stick
> with R.  It seems that the micEcon package is the primary source for this
> two-step regression model (i.e., heckit), but I can't find a way to
make
> the adjustment.  Am I overlooking something with this package or other
> packages?
The heckit() function in the micEcon package definitively has no
"cluster"
option. Unfortunately, I don't know anything about adjustment for intragroup
correlations in heckman type estimations. Is this difficult to implement? Do 
you know a description of this procedure? (Maybe we can do this together.)

Arne

> Brian
>
> 	[[alternative HTML version deleted]]
>
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-- 
Arne Henningsen
Department of Agricultural Economics
University of Kiel
Olshausenstr. 40
D-24098 Kiel (Germany)
Tel: +49-431-880 4445
Fax: +49-431-880 1397
ahenningsen at agric-econ.uni-kiel.de
http://www.uni-kiel.de/agrarpol/ahenningsen/