arhomme: An implementation of the Arellano and Bonhomme (2017) estimator for quantile regression with selection correction

Martin Biewen and Pascal Erhardt ()
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Pascal Erhardt: University of Tübingen

Stata Journal, 2021, vol. 21, issue 3, 602-625

Abstract: Despite constituting a major theoretical breakthrough, the quantile selection model of Arellano and Bonhomme (2017, Econometrica 85: 1–28) based on copulas has not found its way into many empirical applications. We introduce the command arhomme, which implements different variants of the estimator along with standard errors based on bootstrapping and subsampling. We illustrate the command by replicating parts of the empirical application in the original article and a related application in Arellano and Bonhomme (2018, Handbook of Quantile Regression, chap. 13).

Keywords: arhomme; Arellano and Bonhomme quantile selection model; quantile regression; selection correction; inequality; distribution (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1177/1536867X211045516

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