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Estimating Selection Models without Instrument with Stata

Author

Listed:
  • D'Haultfoeuille, Xavier

    (CREST)

  • Maurel, Arnaud

    (Duke University)

  • Qiu, Xiaoyun

    (Northwestern University)

  • Zhang, Yichong

    (Singapore Management University)

Abstract

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.

Suggested Citation

  • D'Haultfoeuille, Xavier & Maurel, Arnaud & Qiu, Xiaoyun & Zhang, Yichong, 2019. "Estimating Selection Models without Instrument with Stata," IZA Discussion Papers 12486, Institute of Labor Economics (IZA).
    • Handle: RePEc:iza:izadps:dp12486
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    References listed on IDEAS

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    1. Chen, Songnian & Khan, Shakeeb, 2003. "Semiparametric Estimation Of A Heteroskedastic Sample Selection Model," Econometric Theory, Cambridge University Press, vol. 19(6), pages 1040-1064, December.
    2. Victor Chernozhukov & Iván Fernández-Val, 2011. "Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 78(2), pages 559-589.
    3. Lewbel, Arthur, 2007. "Endogenous selection or treatment model estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 777-806, December.
    4. D’Haultfoeuille, Xavier & Maurel, Arnaud, 2013. "Another Look At The Identification At Infinity Of Sample Selection Models," Econometric Theory, Cambridge University Press, vol. 29(1), pages 213-224, February.
    5. Victor Chernozhukov & Iv'an Fern'andez-Val & Tetsuya Kaji, 2016. "Extremal Quantile Regression: An Overview," Papers 1612.06850, arXiv.org, revised Feb 2017.
    6. D’Haultfœuille, Xavier & Maurel, Arnaud & Zhang, Yichong, 2018. "Extremal quantile regressions for selection models and the black–white wage gap," Journal of Econometrics, Elsevier, vol. 203(1), pages 129-142.
    7. Ahn, Hyungtaik & Powell, James L., 1993. "Semiparametric estimation of censored selection models with a nonparametric selection mechanism," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 3-29, July.
    8. Chinhui Juhn, 2003. "Labor Market Dropouts and Trends in the Wages of Black and White Men," ILR Review, Cornell University, ILR School, vol. 56(4), pages 643-662, July.
    9. Heckman, James J, 1974. "Shadow Prices, Market Wages, and Labor Supply," Econometrica, Econometric Society, vol. 42(4), pages 679-694, July.
    10. Moshe Buchinsky, 1998. "The dynamics of changes in the female wage distribution in the USA: a quantile regression approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(1), pages 1-30.
    11. Donald, Stephen G., 1995. "Two-step estimation of heteroskedastic sample selection models," Journal of Econometrics, Elsevier, vol. 65(2), pages 347-380, February.
    12. Whitney K. Newey, 2009. "Two-step series estimation of sample selection models," Econometrics Journal, Royal Economic Society, vol. 12(s1), pages 217-229, January.
    13. Francis Vella, 1998. "Estimating Models with Sample Selection Bias: A Survey," Journal of Human Resources, University of Wisconsin Press, vol. 33(1), pages 127-169.
    14. Mitali Das & Whitney K. Newey & Francis Vella, 2003. "Nonparametric Estimation of Sample Selection Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 70(1), pages 33-58.
    15. Joseph G. Altonji & Prashant Bharadwaj & Fabian Lange, 2012. "Changes in the Characteristics of American Youth: Implications for Adult Outcomes," Journal of Labor Economics, University of Chicago Press, vol. 30(4), pages 783-828.
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    Cited by:

    1. Mahmoud Fatouh & Ioana Neamtu & Sweder van Wijnbergen, 2022. "Risk-Taking, Competition and Uncertainty: Do Contingent Convertible (CoCo) Bonds Increase the Risk Appetite of Banks?," Tinbergen Institute Discussion Papers 22-017/IV, Tinbergen Institute.
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    4. Zhang, Fan & Lai, Xiaobing & Guo, Chong, 2024. "ESG disclosure and investment-financing maturity mismatch: Evidence from China," Research in International Business and Finance, Elsevier, vol. 70(PA).
    5. Yashiv, Eran, 2020. "Moving from a Poor Economy to a Rich One: The Contradictory Roles of Technology and Job Tasks," IZA Discussion Papers 13131, Institute of Labor Economics (IZA).
    6. Eran Yashiv, 2020. "Moving from a Poor Economy to a Rich One: The Contradictory Roles of Technology and Job Tasks," Discussion Papers 2010, Centre for Macroeconomics (CFM).
    7. Eran Yashiv, 2021. "Moving from a Poor Economy to a Rich One: A Job Tasks Approach," RF Berlin - CReAM Discussion Paper Series 2119, Rockwool Foundation Berlin (RF Berlin) - Centre for Research and Analysis of Migration (CReAM).
    8. Yashiv, Eran, 2021. "Moving from a poor economy to a rich one: A job tasks approach," Labour Economics, Elsevier, vol. 72(C).
    9. Fatouh, Mahmoud & Neamțu, Ioana & van Wijnbergen, Sweder, 2021. "Risk-taking and uncertainty: do contingent convertible (CoCo) bonds increase the risk appetite of banks?," Bank of England working papers 938, Bank of England.

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    More about this item

    Keywords

    extremal quantile regressions; sample selection models; eqregsel;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
    • J31 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Wage Level and Structure; Wage Differentials

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