Estimating selection models without an instrument with Stata

Xavier D’Haultfoeuille (), Arnaud Maurel, Xiaoyun Qiu () and Yichong Zhang ()
Additional contact information
Xavier D’Haultfoeuille: CREST-ENSAE
Xiaoyun Qiu: Northwestern University
Yichong Zhang: Singapore Management University
Authors registered in the RePEc Author Service: Xavier D'Haultfoeuille

Stata Journal, 2020, vol. 20, issue 2, 297-308

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.

Keywords: eqregsel; sample-selection models; extremal quantile regressions (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Estimating Selection Models without Instrument with Stata (2019)
Working Paper: Estimating Selection Models without Instrument with Stata (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:tsj:stataj:v:20:y:2019:i:2:p:297-308

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DOI: 10.1177/1536867X20930998

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