The aim of our study is to contribute to explaining the difference in male and female labour market performance in different countries of the European Union. The main contribution of this research is the use of a new microeconometric approach that accounts for selectivity in the labour market. The study comprises a comparative analysis of different econometric techniques for estimating wage equations that go beyond the standard Heckman correction. We provide empirical evidence on the selectivity-corrected gender wage gap for different EU countries, including an EU-level analysis.