Williams, BenjaminTorres, JesicaFrancis, David C.2025-01-132025-01-132025-01-13https://hdl.handle.net/10986/42662This paper estimates the monetary and full returns to micro-entrepreneurship using a cross-section of Mexican women leveraging self-reported reservation wages. A generalized Roy model of micro-entrepreneurship choice that accounts for selection bias and non-response in earnings is estimated. The analysis exploits variation in homicide rates as an exclusion restriction to identify the average treatment-on-the-treated. The average monetary return is 4.2 percent while the average full return is 68 percent, which points to substantial non-pecuniary benefits from entrepreneurship among women. The monetary return sharply increases with years of schooling. Full returns are less steep, suggesting that non-pecuniary benefits are more salient for less educated women.en-USCC BY 3.0 IGOFEMALE ENTREPRENEURSHIPROY MODELNON-PECUNIARY BENEFITSSELECTION CORRECTIONSURVEY NON-RESPONSEWorking PaperWorld Bank10.1596/1813-9450-11033https://doi.org/10.1596/1813-9450-11033