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Optimal Bandwidth Choice for the Regression Discontinuity Estimator

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  • Imbens, Guido W.

    ()
    (Stanford University)

  • Kalyanaraman, Karthik

    ()
    (Harvard University)

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.

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Bibliographic Info

Paper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 3995.

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Length: 29 pages
Date of creation: Feb 2009
Date of revision:
Handle: RePEc:iza:izadps:dp3995

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Keywords: optimal bandwidth selection; local linear regression; regression discontinuity designs;

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  1. Frölich, Markus & Melly, Blaise, 2008. "Quantile Treatment Effects in the Regression Discontinuity Design," IZA Discussion Papers 3638, Institute for the Study of Labor (IZA).
  2. Powell, James L. & Stoker, Thomas M., 1996. "Optimal bandwidth choice for density-weighted averages," Journal of Econometrics, Elsevier, Elsevier, vol. 75(2), pages 291-316, December.
  3. Ludwig, Jens & Miller, Douglas L., 2006. "Does Head Start Improve Children's Life Chances? Evidence from a Regression Discontinuity Design," IZA Discussion Papers 2111, Institute for the Study of Labor (IZA).
  4. Lee, David S., 2008. "Randomized experiments from non-random selection in U.S. House elections," Journal of Econometrics, Elsevier, Elsevier, vol. 142(2), pages 675-697, February.
  5. McCrary, Justin, 2008. "Manipulation of the running variable in the regression discontinuity design: A density test," Journal of Econometrics, Elsevier, Elsevier, vol. 142(2), pages 698-714, February.
  6. Guido Imbens & Thomas Lemieux, 2007. "Regression Discontinuity Designs: A Guide to Practice," NBER Working Papers 13039, National Bureau of Economic Research, Inc.
  7. Cook, Thomas D., 2008. ""Waiting for Life to Arrive": A history of the regression-discontinuity design in Psychology, Statistics and Economics," Journal of Econometrics, Elsevier, Elsevier, vol. 142(2), pages 636-654, February.
  8. Wilbert van der Klaauw, 2008. "Regression-Discontinuity Analysis: A Survey of Recent Developments in Economics," LABOUR, CEIS, CEIS, vol. 22(2), pages 219-245, 06.
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