Re: [Gretl-users] Heckit goodness of fit
On Sat, 11 Apr 2009, Allin Cottrell wrote:
> Maybe a nice way to generalise R2, that we could use for every
model we
> have, is to define
>
> R2 = W/(W + $T)
>
...
The variant
R2 = W / ( W + ($T - $ncoeff))
would give the regular R^2 for OLS estimates.
Fine by me.
> This would have several advantages...
Yes, I like it. But note that at present it produces a horrid
mess for two-step heckit since the covariance matrix is stuffed
with NAs/nans. I guess we should be able to fix that up without
too much difficulty.
Not really, if the coefficients we test for 0 are only those for the main
equation, and leave the selection equation alone (as I think we should:
the selection equation may be interesting in its own right, but the model
you care about is the main equation); $vcv is block diagonal, so we should
be ok.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti