NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Xiaoyun Qiu

Toulouse School of Economics

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Institutional Affiliation: Toulouse School of Economics

NBER Working Papers and Publications

May 2019Estimating Selection Models without Instrument with Stata
with Xavier D'Haultfoeuille, Arnaud Maurel, Yichong Zhang: w25823
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.

Published: 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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