IDEAS home Printed from https://ideas.repec.org/a/tsj/stataj/v21y2021i1p123-140.html
   My bibliography  Save this article

msreg: A command for consistent estimation of linear regression models using matched data

Author

Listed:
  • Masayuki Hirukawa

    (Ryukoku University)

  • Di Lu

    (StataCorp)

  • Artem Prokhorov

    (University of Sydney Business School)

Abstract

Economists often use matched samples, especially when dealing with earning data where some observations are missing in one sample and need to be imputed from another sample. Hirukawa and Prokhorov (2018, Journal of Econometrics 203: 344–358) show that the ordinary least-squares estimator using matched samples is inconsistent and propose two consistent estimators. We de- scribe a new command, msreg, that implements these two consistent estimators based on two samples. The estimators attain the parametric convergence rate if the number of continuous matching variables is no greater than four.

Suggested Citation

  • Masayuki Hirukawa & Di Lu & Artem Prokhorov, 2021. "msreg: A command for consistent estimation of linear regression models using matched data," Stata Journal, StataCorp LP, vol. 21(1), pages 123-140, March.
    • Handle: RePEc:tsj:stataj:v:21:y:2021:i:1:p:123-140
    DOI: 10.1177/1536867X211000008
    Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj21-1/st0630/
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1177/1536867X211000008
    Download Restriction: no
    File URL: https://libkey.io/10.1177/1536867X211000008?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tsj:stataj:v:21:y:2021:i:1:p:123-140. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum or Lisa Gilmore (email available below). General contact details of provider: http://www.stata-journal.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.