Work

Optimal Bandwidth Choice for the Regression Discontinuity Estimator

Year: 2009

Type: report

Abstract: We investigate the problem of optimal choice of the smoothing parameter (bandwidth) for the regression discontinuity estimator.We focus on estimation by local linear regression, which was shown to be rate optimal (Porter, 2003).Investigation of an expected-squared-error-loss criterion reveals the need for regularization.We propose an optimal, data dependent, bandwidth choice rule.We illustrate the proposed bandwidth choice using data previously analyzed by Lee (2008), as well as in a simulation study based on this data set.The simulations suggest that the proposed rule performs well.

DOI: 10.1920/wp.cem.2010.0510

Authors: Guido Imbens, Karthik Kalyanaraman

Institutions: Harvard University, University College London

Language: English

Topic: Advanced Causal Inference Techniques

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: green

Funders: National Science Foundation, Economic and Social Research Council

Awards: The Centre for Microdata Methods and Practice, Collaborative Research: The Econometrics of Reallocations in the Presence of Complementarity and Social Spillovers: Estimands, Identification and Estimation, `Collaborative Research: Estimation for and Inference on Causal Effects

OpenAlex ID: W2890546020

Cites: 29

Cited by: 456

Related to: 10