Estimating selection models without an instrument with Stata

Estimating selection models without an instrument with Stata

In this article, we present the eqregsel command, which estimates and provides bootstrap inference for sample-selection models via extremal quantile regression. eqregsel estimates a semiparametric sample-selection model without an instrument or a large support regressor and outputs the point estimat...

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Veröffentlicht in:The Stata journal 2020-06, Vol.20 (2), p.297-308
Hauptverfasser: D’Haultfœuille, Xavier, Maurel, Arnaud, Qiu, Xiaoyun, Zhang, Yichong
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container_title The Stata journal
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creator D’Haultfœuille, Xavier
Maurel, Arnaud
Qiu, Xiaoyun
Zhang, Yichong
description In this article, we present the eqregsel command, which estimates and provides bootstrap inference for sample-selection models via extremal quantile regression. eqregsel estimates a semiparametric sample-selection model without an instrument or a large support regressor and outputs the point estimates of the homogeneous linear coefficients, their bootstrap standard errors, and the p-value for a specification test.
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title Estimating selection models without an instrument with Stata
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