Xavier D'Haultfoeuille

5 avenue Henry Le Chatelier
91764 Palaiseau cedex

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: CREST-INSEE

NBER Working Papers and Publications

May 2019Estimating Selection Models without Instrument with Stata
with Arnaud Maurel, Xiaoyun Qiu, Yichong Zhang: w25823
This article presents the eqregsel command for implementing the estimation and bootstrap inference of sample selection models via extremal quantile regression. The command estimates a semiparametric sample selection model without instrument or large support regressor, and outputs the point estimates of the homogenous linear coefficients, their bootstrap standard errors, as well as the p-value for a specification test.

Published: Xavier D’Haultfœuille & Arnaud Maurel & Xiaoyun Qiu & Yichong Zhang, 2020. "Estimating selection models without an instrument with Stata," The Stata Journal: Promoting communications on statistics and Stata, vol 20(2), pages 297-308. citation courtesy of

Two-way Fixed Effects Estimators with Heterogeneous Treatment Effects
with Clément de Chaisemartin: w25904
Linear regressions with period and group fixed effects are widely used to estimate treatment effects. We show that they identify weighted sums of the average treatment effects (ATE) in each group and period, with weights that may be negative. Due to the negative weights, the linear regression estimand may for instance be negative while all the ATEs are positive. In two articles that have used those regressions, half of the weights are negative. We propose another estimator that solves this issue. In one of the articles we revisit, it is of a different sign than the linear regression estimator.

Published: Clément de Chaisemartin & Xavier D’Haultfœuille, 2020. "Two-Way Fixed Effects Estimators with Heterogeneous Treatment Effects," American Economic Review, vol 110(9), pages 2964-2996.

November 2018Rationalizing Rational Expectations? Tests and Deviations
with Christophe Gaillac, Arnaud Maurel: w25274
In this paper, we build a new test of rational expectations based on the marginal distributions of realizations and subjective beliefs. This test is widely applicable, including in the common situation where realizations and beliefs are observed in two different datasets that cannot be matched. We show that whether one can rationalize rational expectations is equivalent to the distribution of realizations being a mean-preserving spread of the distribution of beliefs. The null hypothesis can then be rewritten as a system of many moment inequality and equality constraints, for which tests have been recently developed in the literature. Next, we go beyond testing by defining and estimating the minimal deviations from rational expectations that can be rationalized by the data. In the context o...
June 2014Extremal Quantile Regressions for Selection Models and the Black-White Wage Gap
with Arnaud Maurel, Yichong Zhang: w20257
We consider the estimation of a semiparametric location-scale model subject to endogenous selection, in the absence of an instrument or a large support regressor. Identification relies on the independence between the covariates and selection, for arbitrarily large values of the outcome. In this context, we propose a simple estimator, which combines extremal quantile regressions with minimum distance. We establish the asymptotic normality of this estimator by extending previous results on extremal quantile regressions to allow for selection. Finally, we apply our method to estimate the black-white wage gap among males from the NLSY79 and NLSY97. We find that premarket factors such as AFQT and family background characteristics play a key role in explaining the level and evolution of the blac...

Published: Xavier D’Haultfœuille & Arnaud Maurel & Yichong Zhang, 2017. "Extremal quantile regressions for selection models and the black–white wage gap," Journal of Econometrics, . citation courtesy of

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