NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Yichong Zhang

Duke University
Department of Economics
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NBER Working Papers and Publications

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...
 
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