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XTSELFE: Stata module to estimate fixed-effects panel-data models with sample selection

Author

Listed:
  • Chirok Han

    (Department of Economics, Korea University)

  • Goeun Lee

    (Department of Economics, Kookmin University)

Programming Language

Abstract

xtselfe implements the Han and Lee (2022) approach for correcting selectivity bias in the within-group estimator of linear panel-data models with fixed effects and sample selection. It uses pooled weighted least squares based on pairwise differences that eliminate the fixed effects. Correction terms are constructed from period-wise probit regressions and plug-in maximum likelihood estimates of the intertemporal correlations in the selection errors. Standard errors are computed by the delta method and adjusted for the generated regressors problem.

Suggested Citation

  • Chirok Han & Goeun Lee, 2026. "XTSELFE: Stata module to estimate fixed-effects panel-data models with sample selection," Statistical Software Components S459713, Boston College Department of Economics, revised 09 Jun 2026.
    • Handle: RePEc:boc:bocode:s459713
    Note: This module should be installed from within Stata by typing "ssc install xtselfe". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtselfe.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtselfe_p.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtselfe.sthlp
    File Function: help file
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