Estimating Selection Models without Instrument with Stata
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
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.