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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 LP, 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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    References listed on IDEAS

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    6. D’Haultfœuille, Xavier & Maurel, Arnaud & Zhang, Yichong, 2018. "Extremal quantile regressions for selection models and the black–white wage gap," Journal of Econometrics, Elsevier, vol. 203(1), pages 129-142.
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    Cited by:

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    More about this item

    Keywords

    eqregsel; sample-selection models; extremal quantile regressions;
    All these keywords.

    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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