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Optimal Bandwidth Choice for the Regression Discontinuity Estimator

Author

Listed:
  • 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.

Suggested Citation

  • Imbens, Guido W. & Kalyanaraman, Karthik, 2009. "Optimal Bandwidth Choice for the Regression Discontinuity Estimator," IZA Discussion Papers 3995, Institute of Labor Economics (IZA).
  • Handle: RePEc:iza:izadps:dp3995
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    References listed on IDEAS

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    1. Frandsen, Brigham R. & Frölich, Markus & Melly, Blaise, 2012. "Quantile treatment effects in the regression discontinuity design," Journal of Econometrics, Elsevier, vol. 168(2), pages 382-395.
    2. Wilbert Van Der Klaauw, 2008. "Regression–Discontinuity Analysis: A Survey of Recent Developments in Economics," LABOUR, CEIS, vol. 22(2), pages 219-245, June.
    3. Jens Ludwig & Douglas L. Miller, 2007. "Does Head Start Improve Children's Life Chances? Evidence from a Regression Discontinuity Design," The Quarterly Journal of Economics, Oxford University Press, vol. 122(1), pages 159-208.
    4. 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, vol. 142(2), pages 636-654, February.
    5. Lee, David S., 2008. "Randomized experiments from non-random selection in U.S. House elections," Journal of Econometrics, Elsevier, vol. 142(2), pages 675-697, February.
    6. Imbens, Guido W. & Lemieux, Thomas, 2008. "Regression discontinuity designs: A guide to practice," Journal of Econometrics, Elsevier, vol. 142(2), pages 615-635, February.
    7. McCrary, Justin, 2008. "Manipulation of the running variable in the regression discontinuity design: A density test," Journal of Econometrics, Elsevier, vol. 142(2), pages 698-714, February.
    8. Powell, James L. & Stoker, Thomas M., 1996. "Optimal bandwidth choice for density-weighted averages," Journal of Econometrics, Elsevier, vol. 75(2), pages 291-316, December.
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    More about this item

    Keywords

    optimal bandwidth selection; local linear regression; regression discontinuity designs;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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