Simultaneous selection of optimal bandwidths for the sharp regression discontinuity estimator

A new bandwidth selection method 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 design estimator of the average treatment effect at the cut‐off point. The asymptotic mean squared error of the estimator using the proposed bandwidth selection method is shown to be smaller than other bandwidth selection methods proposed in the literature. The approach that the bandwidth selection method is based on is also applied to an estimator that exploits the sharp regression kink design. Reliable confidence intervals compatible with both of the proposed bandwidth selection methods are also proposed as in the work of Calonico, Cattaneo, and Titiunik (2014a). An extensive simulation study shows that the proposed method's performances for the samples sizes 500 and 2000 closely match the theoretical predictions. Our simulation study also shows that the common practice of halving and doubling an optimal bandwidth for sensitivity check can be unreliable.