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Re: st: Quantile regression with sample selection


From   Gustavo Palmeira <gustavopalmeira@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Quantile regression with sample selection
Date   Thu, 29 Mar 2012 14:54:19 -0300

2012/3/29, Gustavo Palmeira <gustavopalmeira@gmail.com>:
> Is the command -sml- still implemented on version 10 or changed the name?



>
>> 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

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