Economists often use matched samples, especially when dealing with earning data where some observations are missing in one sample and need to be imputed from another sample. Hirukawa and Prokhorov (2018, Journal of Econometrics 203: 344–358) show that the ordinary least-squares estimator using matched samples is inconsistent and propose two consistent estimators. We describe a new command, msreg, that 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.

中文翻译：

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msreg：使用匹配数据一致估计线性回归模型的命令

经济学家经常使用匹配的样本，尤其是在处理收益数据时，其中一个样本中缺少一些观察值，需要从另一个样本中推算。Hirukawa和Prokhorov（2018，Journal of Econometrics 203：344–358）显示，使用匹配样本的普通最小二乘估计量是不一致的，并提出了两个一致的估计量。我们描述了一个新命令msreg，该命令基于两个样本实现了这两个一致的估计量。如果连续匹配变量的数量不大于四个，则估计器将达到参数收敛速度。