Simultaneous selection of optimal bandwidths for the sharp regression discontinuity estimator

Arbeitspapier

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 samples sizes 500, 2000, and 5000 closely match the theoretical predictions.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: cemmap working paper ; No. CWP42/15

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: Bandwidth selection ; local linear regression ; regression discontinuity design

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Arai, Yoichi ; Ichimura, Hidehiko
• Ereignis: Veröffentlichung
• (wer): Centre for Microdata Methods and Practice (cemmap)
• (wo): London
• (wann): 2015

Weitere Informationen

• DOI: doi:10.1920/wp.cem.2015.4215
• Handle: http://hdl.handle.net/10419/130051
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ