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Re: st: Quantile regression with sample selection


From   Luciana Mèndez <lucimerrico@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Quantile regression with sample selection
Date   Wed, 28 Mar 2012 16:41:03 +0200

Hy Gustavo,

There´s no module in Stata as far as I know to do that
,
what I am doing to replicate Buchinsky´s method was  first estimate a
single index ( semiparametric maximum likelihood estimator of Klein
and Spady (1993)) using sml command in stata,

then you have to calculate Mill´s ratio, and then incorporate this
ratio on your quantile regression,

**Mills ratio

generate mills = normalden(index)/normal(index) if female

replace  mills = -normalden(index)/1-normal(index) if male

gen mills2=mills^2

***include the power series into the QR**

qreg depvar indepvar  mills mills2 if female, q(0.1)



Buchinksy suggest including power series of order two, but you can try
with power series of order 3 and see whether the correction terms are
significant.
I hope this could help you,

Luciana

2012/3/28 Gustavo Palmeira <gustavopalmeira@gmail.com>:
>
>  I like to do quantile regression analysis to understand the earning
> gap evolution between formal and informal sector in Brazil. I’ve read
> a paper by Buchinsky "Quantile regression with sample selection:
> estimating women returns to education in the U.S." where he developed
> a sample selection procedure (a non parametric method similar to one
> developed by Heckman (1980 and Newey (1991)) and I'm having problems
> to repeat this technique in Stata. Can anyone help me with this
> technique? Is there a stata module for this procedure or can you help
> me constructing this selection equation in stata format step by step?
>
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