Estimating Selection Models Without an Instrument with Stata

Friday, June 19, 2020
Xavier D’Haultfœuille, Arnaud Maurel, Xiaoyun Qiu, Yichong Zhang

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.

Citation: 

D’Haultfœuille, X., Maurel, A., Qiu, X., & Zhang, Y. (2020). Estimating selection models without an instrument with Stata. The Stata Journal, 20(2), 297–308. https://doi.org/10.1177/1536867X20930998

Cover of the Stata Journal