Authors: Masayuki Hirukawa, Di Liu and Artem Prokhorov
Abstract: Economists often use matched samples, especially dealing with earning data where some observations are missing in one sample and need to be imputed from another sample. Hirukawa and Prokhorov (2018) show that the ordinary least squares estimator using matched samples is inconsistent and propose two consistent estimators. We describe a new Stata command, msreg, which implements these two consistent estimators based on two samples. The estimators attain the parametric convergence rate if the number of continuous matching variables is no greater than four.