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NATIONAL BUREAU OF ECONOMIC RESEARCH
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Estimating Selection Models without Instrument with Stata

Xavier D'Haultfoeuille, Arnaud Maurel, Xiaoyun Qiu, Yichong Zhang

NBER Working Paper No. 25823
Issued in May 2019
NBER Program(s):Labor Studies, Technical Working Papers

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.

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Document Object Identifier (DOI): 10.3386/w25823

 
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