Estimating selection models without an instrument with Stata
D'Haultfoeuille, Xavier | Maurel, Arnaud | Qiu, Xiaoyun | Zhang, Yichong
In this article, we present the eqregsel command, which estimates and provides bootstrap inference for sample-selection models via extremal quantile regression. eqregsel estimates a semiparametric sample-selection model without an instrument or a large support regressor and outputs the point estimates of the homogeneous linear coefficients, their bootstrap standard errors, and the p-value for a specification test.
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