Implementing Quantile Selection Models in Stata


This article describes qregsel, a Stata module to implement a copula-based sample selection correction for quantile regression recently proposed by Arellano and Bonhomme (2017, Econometrica 85(1), pp1-28). This user-written command exploits the newly available Stata 16 capabilities to solve linear programming problems, and the integration with Python. We illustrate the use of qregsel with an empirical example using the data employed in the Stata base reference manual for the heckman command.

Preliminary draft available upon request
Ercio Munoz
Ph.D. Candidate

My research interests include applied econometrics, political economy, and socioeconomic inequality.