NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Yichong Zhang

School of Economics
Singapore Management University
90 Stamford Rd.
Singapore 178903
Singapore

E-Mail: yczhang@smu.edu.sg
Institutional Affiliation: Duke University

NBER Working Papers and Publications

May 2019Estimating Selection Models without Instrument with Stata
with Xavier D'Haultfoeuille, Arnaud Maurel, Xiaoyun Qiu: 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.

June 2014Extremal Quantile Regressions for Selection Models and the Black-White Wage Gap
with Xavier D'Haultfoeuille, Arnaud Maurel: w20257
We consider the estimation of a semiparametric location-scale model subject to endogenous selection, in the absence of an instrument or a large support regressor. Identification relies on the independence between the covariates and selection, for arbitrarily large values of the outcome. In this context, we propose a simple estimator, which combines extremal quantile regressions with minimum distance. We establish the asymptotic normality of this estimator by extending previous results on extremal quantile regressions to allow for selection. Finally, we apply our method to estimate the black-white wage gap among males from the NLSY79 and NLSY97. We find that premarket factors such as AFQT and family background characteristics play a key role in explaining the level and evolution of the blac...

Published: Xavier D’Haultfœuille & Arnaud Maurel & Yichong Zhang, 2017. "Extremal quantile regressions for selection models and the black–white wage gap," Journal of Econometrics, . citation courtesy of

 
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