statsmodels/statsmodels — pull request #1935 by bert9bert (2014-08-26 00:05:49+00:00)
Title: Heckman

Added a module to estimate the Heckman selection model using the Heckman 2-step. A test module checks the parameter estimates that this module creates in an example dataset against the parameter estimates that Stata creates. If this happens to merge well into the existing statsmodels code, I'd like to add an MLE estimation method as well. Stata currently has the option to estimate the Heckman model by either the 2-step or by MLE.