When using function heckit() from package âsampleSelectionâ, is there anyway to make t-tests for the coefficients using robust covariance matrix estimator? By ârobustâ I mean something like if a had an object âlmâ called âregâ and then used:
> coeftest(reg, vcov = vcovHC(reg)). Iâm asking this because in Stata we could use function heckman and then use vce option ârobustâ. We could do the same for cluster. In a more general way, is there anyway to use another covariance matrix to make t-test (e.g. linear hypothesis) for heckit (selection) models? Thanks, Mateus Rabello [[alternative HTML version deleted]]
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