July 2019

IZA DP No. 12486: Estimating Selection Models without Instrument with Stata

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

published in: Stata Journal, 2020, 20(2), 297-308

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.