Simultaneous selection of optimal bandwidths for the sharp regression discontinuity estimator

DOI10.3982/QE590MaRDI QIDQ4586287zbMATH OpenOpenAlexWikidataFDO

Authors Yoichi Arai, Hidehiko Ichimura

Publication date 12 September 2018

Published in Quantitative Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://arxiv.org/abs/1407.7697

zbMATH Keywords

bandwidth selectionconfidence intervallocal linear regressionregression discontinuity designregression kink design

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Linear regression; mixed models (62J05) Response surface designs (62K20)

Abstract: A new bandwidth selection rule that uses different bandwidths for the local linear regression estimators on the left and the right of the cut-off point is proposed for the sharp regression discontinuity estimator of the mean program impact at the cut-off point. The asymptotic mean squared error of the estimator using the proposed bandwidth selection rule is shown to be smaller than other bandwidth selection rules proposed in the literature. An extensive simulation study shows that the proposed method's performances for the sample sizes 500, 2000, and 5000 closely match the theoretical predictions.

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