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Estimating Selection Models without Instrument with Stata

Xavier D'Haultfoeuille, Arnaud Maurel (), Xiaoyun Qiu () and Yichong Zhang ()
Additional contact information
Xiaoyun Qiu: Northwestern University
Yichong Zhang: Singapore Management University

No 12486, IZA Discussion Papers from Institute of Labor Economics (IZA)

Abstract: This article presents the eqregsel command for implementing the estimation and bootstrap inference of sample selection models via extremal quantile regression. The command estimates a semiparametric sample selection model without instrument or large support regressor, and outputs the point estimates of the homogenous linear coefficients, their bootstrap standard errors, as well as the p-value for a specification test.

Keywords: extremal quantile regressions; sample selection models; eqregsel (search for similar items in EconPapers)
JEL-codes: C21 C24 C87 J31 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2019-07
New Economics Papers: this item is included in nep-ore and nep-sea
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Published in: Stata Journal, 2020, 20(2), 297-308

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http://ftp.iza.org/dp12486.pdf (application/pdf)

Related works:
Journal Article: Estimating selection models without an instrument with Stata (2020) Downloads
Working Paper: Estimating Selection Models without Instrument with Stata (2019) Downloads
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