Publication Type
Journal Article
Version
submittedVersion
Publication Date
6-2020
Abstract
This article presents the eqregsel command for implementing the estimationand bootstrap inference of sample selection models via extremal quantile regression. The command estimates a semiparametric sample selection model withoutinstrument or large support regressor, and outputs the point estimates of the ho-mogenous linear coefficients, their bootstrap standard errors, as well as the p-valuefor a specification test.
Keywords
eqregsel, sample selection models, extremal quantile regressions
Discipline
Econometrics
Research Areas
Econometrics
Publication
Stata Journal
Volume
20
Issue
2
First Page
297
Last Page
308
ISSN
1536-867X
Identifier
10.1177/1536867X20930998
Publisher
SAGE
Citation
D’Haultfœuille, Xavier; MAUREL, Arnaud; QIU, Xiaoyun; and ZHANG, Yichong.
Estimating selection models without instrument with Stata. (2020). Stata Journal. 20, (2), 297-308.
Available at: https://ink.library.smu.edu.sg/soe_research/2279
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1177/1536867X20930998
