Simple local polynomial density estimators

DOI10.1080/01621459.2019.1635480MaRDI QIDQ5120680zbMATH OpenOpenAlexFDO

Authors Matias D. Cattaneo, Michael Jansson, Xinwei Ma

Publication date 15 September 2020

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1811.11512

zbMATH Keywords

density estimationlocal polynomial methodsmanipulation testregression discontinuity

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Density estimation (62G07)

Abstract: This paper introduces an intuitive and easy-to-implement nonparametric density estimator based on local polynomial techniques. The estimator is fully boundary adaptive and automatic, but does not require pre-binning or any other transformation of the data. We study the main asymptotic properties of the estimator, and use these results to provide principled estimation, inference, and bandwidth selection methods. As a substantive application of our results, we develop a novel discontinuity in density testing procedure, an important problem in regression discontinuity designs and other program evaluation settings. An illustrative empirical application is given. Two companion Stata and R software packages are provided.

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Cited in

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Describes a project that uses

Uses Software

• rddensity
• lpdensity
• Stata
• R
• KernSmooth

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