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Estimating Selection Models without Instrument with Stata

Xavier D'Haultfoeuille, Arnaud Maurel (), Xiaoyun Qiu and Yichong Zhang

No 25823, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: C21 C24 C87 J31 (search for similar items in EconPapers)
Date: 2019-05
New Economics Papers: this item is included in nep-ore
Note: LS TWP
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Published as Xavier D’Haultfœuille & Arnaud Maurel & Xiaoyun Qiu & Yichong Zhang, 2020. "Estimating selection models without an instrument with Stata," The Stata Journal: Promoting communications on statistics and Stata, vol 20(2), pages 297-308.

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