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arhomme: An implementation of the Arellano and Bonhomme (2017) estimator for quantile regression with selection correction

Author

Listed:
  • Martin Biewen

    (University of Tübingen)

  • Pascal Erhardt

    (University of Tübingen)

Abstract

Despite constituting a major theoretical breakthrough, the quantile selection model of Arellano and Bonhomme (2017, Econometrica 85: 1–28) based on copulas has not found its way into many empirical applications. We introduce the command arhomme, which implements different variants of the estimator along with standard errors based on bootstrapping and subsampling. We illustrate the command by replicating parts of the empirical application in the original article and a related application in Arellano and Bonhomme (2018, Handbook of Quantile Regression, chap. 13).

Suggested Citation

  • Martin Biewen & Pascal Erhardt, 2021. "arhomme: An implementation of the Arellano and Bonhomme (2017) estimator for quantile regression with selection correction," Stata Journal, StataCorp LP, vol. 21(3), pages 602-625, September.
    • Handle: RePEc:tsj:stataj:v:21:y:2021:i:3:p:602-625
    DOI: 10.1177/1536867X211045516
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    Cited by:

    1. Kenza Elass, 2022. "The multiple dimensions of selection into employment," AMSE Working Papers 2219, Aix-Marseille School of Economics, France.
    2. Kenza Elass, 2022. "The multiple dimensions of selection into employment," French Stata Users' Group Meetings 2022 06, Stata Users Group.

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