Implementing Quantile Selection Models in Stata

This article describes qregsel, a Stata module to implement copula-based sample selection correction for quantile regression recently proposed by Arellano and Bonhomme (2017, Econometrica 85(1): 1-28). The command allows the user model in regressions using either Gaussian or an one-dimensional Frank copula. We illustrate use of qregsel with two examples. First, we apply method fictional data set employed base reference manual heckman command. Second, replicate part empirical application original paper UK that covers period 1978-2000 compare wages males females at different quantiles.