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Estimating selection models without an instrument with Stata

Author

Listed:
  • Xavier D’Haultfoeuille

    (CREST-ENSAE)

  • Arnaud Maurel

    (Duke University)

  • Xiaoyun Qiu

    (Northwestern University)

  • Yichong Zhang

    (Singapore Management University)

Abstract

In this article, we present the eqregsel command, which estimates and provides bootstrap inference for sample-selection models via extremal quantile regression. eqregsel estimates a semiparametric sample-selection model without an instrument or a large support regressor and outputs the point estimates of the homogeneous linear coefficients, their bootstrap standard errors, and the p-value for a specification test. Copyright 2020 by StataCorp LP.

Suggested Citation

  • Xavier D’Haultfoeuille & Arnaud Maurel & Xiaoyun Qiu & Yichong Zhang, 2020. "Estimating selection models without an instrument with Stata," Stata Journal, StataCorp LLC, vol. 20(2), pages 297-308, June.
    • Handle: RePEc:tsj:stataj:v:20:y:2019:i:2:p:297-308
    DOI: 10.1177/1536867X20930998
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    Cited by:

    1. Zhang, Fan & Lai, Xiaobing & Guo, Chong, 2024. "ESG disclosure and investment-financing maturity mismatch: Evidence from China," Research in International Business and Finance, Elsevier, vol. 70(PA).
    2. Yashiv, Eran, 2020. "Moving from a Poor Economy to a Rich One: The Contradictory Roles of Technology and Job Tasks," IZA Discussion Papers 13131, IZA Network @ LISER.
    3. Lai, Xiaobing & Zhang, Fan, 2022. "Can ESG certification help company get out of over-indebtedness? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
    4. Goldstein, Joshua & Pender, John, 2025. "Impacts of the USDA Community Connect broadband program on broadband speeds in rural areas," Telecommunications Policy, Elsevier, vol. 49(4).
    5. Eran Yashiv, 2020. "Moving from a Poor Economy to a Rich One: The Contradictory Roles of Technology and Job Tasks," Discussion Papers 2010, Centre for Macroeconomics (CFM).
    6. Eran Yashiv, 2021. "Moving from a Poor Economy to a Rich One: A Job Tasks Approach," RFBerlin Discussion Paper Series 2119, ROCKWOOL Foundation Berlin (RFBerlin).
    7. Fatouh, Mahmoud & Neamtu, Ioana & van Wijnbergen, Sweder, 2022. "Risk-Taking, Competition and Uncertainty: Do Contingent Convertible (CoCo) Bonds Increase the Risk Appetite of Banks?," CEPR Discussion Papers 17062, Centre for Economic Policy Research.
    8. Yashiv, Eran, 2021. "Moving from a poor economy to a rich one: A job tasks approach," Labour Economics, Elsevier, vol. 72(C).
    9. Mahmoud Fatouh & Ioana Neamțu & Sweder van Wijnbergen, 2021. "Risk-taking and uncertainty: do contingent convertible (CoCo) bonds increase the risk appetite of banks?," Bank of England working papers 938, Bank of England.
    10. Georgios Nalbantis & Tim Pawlowski & Dominik Schreyer, 2023. "Substitution Effects and the Transnational Demand for European Soccer Telecasts," Journal of Sports Economics, , vol. 24(4), pages 407-442, May.

    More about this item

    Keywords

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    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
    • J31 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Wage Level and Structure; Wage Differentials

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