Computes a derivative of the inverse Mills ratio with respect to the parameter vector.
dLambdadSM5(x, beta)vector of exogenous variables
vector of parameters
The gradient of the inverse Mills ratio is returned as a vector
This function is necessary for computation of the asymptotic variance. In case of switching regressions the inverse Mills ratio term is different, and its derivative is computed in function dLambdadSM5. It can also be used to compute the influence function of the two-stage estimator.
Zhelonkin, M., Genton M.G., and Ronchetti, E. (2016) Robust Inference in Sample Selection Models. Journal of the Royal Statistical Society, Series B, 78, p. 805-827.