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Implementing quantile selection models in Stata

Author

Listed:
  • Ercio Muñoz

    (CUNY Graduate Center)

  • Mariel Siravegna

    (Georgetown University)

Abstract

In this article, we describe qregsel, a community-contributed command that implements a copula-based sample-selection correction for quantile re- gression recently proposed by Arellano and Bonhomme (2017, Econometrica 85: 1–28). The command allows the user to model selection in quantile regressions by using either a Gaussian or a one-dimensional Frank copula. We illustrate the use of qregsel with two examples. First, we apply the method to the fictional dataset used in the Stata Base Reference Manual for the heckman command. Second, we replicate part of the empirical application of the original article using data for the United Kingdom that cover the period 1978–2000 to compare wages of males and females at different quantiles.

Suggested Citation

  • Ercio Muñoz & Mariel Siravegna, 2021. "Implementing quantile selection models in Stata," Stata Journal, StataCorp LP, vol. 21(4), pages 952-971, December.
    • Handle: RePEc:tsj:stataj:v:21:y:2021:i:4:p:952-971
    DOI: 10.1177/1536867X211063148
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    1. Manuel Arellano & Stéphane Bonhomme, 2017. "Quantile Selection Models With an Application to Understanding Changes in Wage Inequality," Econometrica, Econometric Society, vol. 85, pages 1-28, January.
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