| Detailed description |
hi,
just wanted to submit a feature request: it would be great to have a standard error on the prediction of the expected value of the outcome equation. in terms of your notation, if this is the expected outcome:
E[y|X,Z,w=1] = X %*% beta + rho * sigma * dnorm( Z %*% gamma ) / pnorm( Z %*% gamma )
then I want
Var( E[y|X,Z,w=1] ). Stata uses the delta method to estimate Var(rho*sigma). not sure if implementing this is more or less work than just bootstrapping the whole thing.
http://www.stata.com/manuals13/rheckman.pdf (page 16)
in that document, there's also a simple way to incorporate sampling weights. this would be very useful when working with survey data, which always comes with sampling weights.
thanks! |
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