Coverage error optimal confidence intervals for local polynomial regression

DOI10.3150/21-BEJ1445MaRDI QIDQ2676952zbMATH OpenFDO

Authors Sebastian Calonico, Matias D. Cattaneo, Max H. Farrell

Publication date 28 September 2022

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.01398, https://projecteuclid.org/journals/bernoulli/volume-28/issue-4/Coverage-error-optimal-confidence-intervals-for-local-polynomial-regression/10.3150/21-BEJ1445.full

zbMATH Keywords

bandwidth selectionCramér conditionEdgeworth expansionminimax boundnonparametric regressionoptimal inferencerobust bias correction

Mathematics Subject Classification ID

Statistical distribution theory (62Exx) Nonparametric inference (62Gxx) Probabilistic methods, stochastic differential equations (65Cxx)

Cites work

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• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 3517666 (Why is no real title available?)
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• On the Effect of Bias Estimation on Coverage Accuracy in Nonparametric Inference
• Optimal bandwidth choice for robust bias-corrected inference in regression discontinuity designs
• Pointwise Confidence Intervals in Nonparametric Regression with Heteroscedastic Error Structure
• Regression discontinuity designs, white noise models, and minimax
• Robust nonparametric confidence intervals for regression-discontinuity designs
• The bootstrap and Edgeworth expansion
• The Nonexistence of Certain Statistical Procedures in Nonparametric Problems
• Uniform coverage bounds for confidence intervals and Berry-Esseen theorems for Edgeworth expansion

Cited in

(13)

• Robust uniform inference for quantile treatment effects in regression discontinuity designs
• On nonparametric inference in the regression discontinuity design
• Regression Discontinuity Designs With a Continuous Treatment
• A guide to regression discontinuity designs in medical applications
• Coverage Error Optimal Confidence Intervals for Local Polynomial Regression
• Boundary adaptive local polynomial conditional density estimators
• Dynamic regression discontinuity under treatment effect heterogeneity
• Uniform Inference for Kernel Density Estimators with Dyadic Data
• Higher-order refinements of small bandwidth asymptotics for density-weighted average derivative estimators
• A unified test for regression discontinuity designs
• Inference with Mondrian random forests
• Uniform estimation and inference for nonparametric partitioning-based M-estimators
• Testing identifying assumptions in Tobit models

Describes a project that uses

Uses Software

• nprobust
• R
• Stata
• rdrobust

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