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old_id
2011 Jul 11
1
Robust vce for heckman estimators
When using function heckit() from package ‘sampleSelection’, is there anyway to make t-tests for the coefficients using robust covariance matrix estimator? By “robust” I mean something like if a had an object ‘lm’ called “reg” and then used:
> coeftest(reg, vcov = vcovHC(reg)).
I’m asking this because in Stata we could use function heckman and then use vce option “robust”. We could do the