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Implementing quantile selection models in Stata

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  • Mariel Siravegna

    (Georgetown University)

Abstract

This presentation describes qregsel, a community-contributed command to implement a copula-based sample-selection correction for quantile regression recently proposed by Arellano and Bonhomme (2017). We illustrate the use of qregsel with an empirical example using the data employed in the Stata base reference manual for the heckman command.

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  • Mariel Siravegna, 2020. "Implementing quantile selection models in Stata," 2020 Stata Conference 2, Stata Users Group.
    • Handle: RePEc:boc:scon20:2
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    File URL: http://fmwww.bc.edu/repec/scon2020/us20_Siravegna.pdf
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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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