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

Chirok Han () and Goeun Lee ()
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Chirok Han: Department of Economics, Korea University

Statistical Software Components from Boston College Department of Economics

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.

Language: Stata
Requires: Stata version 16
Keywords: fixed effects; panel data; sample selection; selectivity bias (search for similar items in EconPapers)
Date: 2026-05-17
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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http://fmwww.bc.edu/repec/bocode/x/xtselfe.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtselfe_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtselfe.sthlp help file (text/plain)

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