July 2019

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

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

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.