[R] Estimating Endogenous Selection Model

Johannes Muck Muck at econ.uni-frankfurt.de
Sat Sep 19 07:52:30 CEST 2015

Dear Arne,

thank you very much!



-----Ursprüngliche Nachricht-----
Von: Arne Henningsen [mailto:arne.henningsen at gmail.com] 
Gesendet: Samstag, 19. September 2015 07:07
An: Johannes Muck <Muck at econ.uni-frankfurt.de>
Cc: r-help at r-project.org
Betreff: Re: [R] Estimating Endogenous Selection Model

Dear Johannes

You can use function selection() of the sampleSelection package and estimate an endogenous switching regression ("tobit-5") model, where you have the selection equation to model investmentment vs.
non-investment and you have two outcome equations, one for firms that invest and the other for firms that do not invest.

Best regards,

On 18 September 2015 at 07:43, Johannes Muck <Muck at econ.uni-frankfurt.de> wrote:
> Dear all,
> I want to estimate a model in which individuals self-select into two 
> different actions (e.g. invest or not invest). Moreover, the factors 
> that influence the selection decision also affect the ultimate outcome 
> variable (e.g. return on investment). That is, I want to estimate a 
> model with endogenous selection.
> My question is: Which R package supports this kind of estimation?
> To me it seems like the package sampleSelection 
> (https://cran.r-project.org/web/packages/sampleSelection/sampleSelecti
> on.pdf
> ) can only be used in case of a SAMPLE selection, i.e. in the example above:
> only individuals that invest are observed. Yet in my case, both 
> actions are observed but the decision which action to choose is 
> endogenous. Or does this package also support self-selection models?
> Thank you very much in advance.
> Best,
> Johannes
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Arne Henningsen

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