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Optimal Bandwidth Selection for Differences of Nonparametric Estimators with an Application to the Sharp Regression Discontinuity Design

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  • Yoichi Arai

    (National Graduate Institute for Policy Studies (GRIPS))

  • Hidehiko Ichimura

    (Faculty of Economics, University of Tokyo)

Abstract

   We consider the problem of choosing two bandwidths simultaneously for estimating the difference of two functions at given points. When the asymptotic approximation of the mean squared error (AMSE) criterion is used, we show that minimization problem is not well-defined when the sign of the product of the second derivatives of the underlying functions at the estimated points is positive. To address this problem, we theoretically define and construct estimators of the asymptotically first-order optimal (AFO) bandwidths which are well-defined regardless of the sign. They are based on objective functions which incorporate a second-order bias term. Our approach is general enough to cover estimation problems related to densities and regression functions at interior and boundary points. We provide a detailed treatment of the sharp regression discontinuity design.

Suggested Citation

  • Yoichi Arai & Hidehiko Ichimura, 2013. "Optimal Bandwidth Selection for Differences of Nonparametric Estimators with an Application to the Sharp Regression Discontinuity Design," CIRJE F-Series CIRJE-F-889, CIRJE, Faculty of Economics, University of Tokyo.
  • Handle: RePEc:tky:fseres:2013cf889
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    References listed on IDEAS

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    1. 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.
    2. Yoichi Arai & Hidehiko Ichimura, 2013. "Optimal Bandwidth Selection for Differences of Nonparametric Estimators with an Application to the Sharp Regression Discontinuity Design," CIRJE F-Series CIRJE-F-889, CIRJE, Faculty of Economics, University of Tokyo.
    3. Guido Imbens & Karthik Kalyanaraman, 2012. "Optimal Bandwidth Choice for the Regression Discontinuity Estimator," Review of Economic Studies, Oxford University Press, vol. 79(3), pages 933-959.
    4. 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.
    5. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    6. Doug Miller & Jens Ludwig, 2005. "Does Head Start Improve Children?s Life Chances? Evidence from a Regression Discontinuity Design," Working Papers 534, University of California, Davis, Department of Economics.
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    Cited by:

    1. Yoichi Arai & Hidehiko Ichimura, 2013. "Optimal Bandwidth Selection for Differences of Nonparametric Estimators with an Application to the Sharp Regression Discontinuity Design," CIRJE F-Series CIRJE-F-889, CIRJE, Faculty of Economics, University of Tokyo.
    2. Yoichi Arai & Hidehiko Ichimura, 2014. "Simultaneous Selection of Optimal Bandwidths for the Sharp Regression Discontinuity Estimator," GRIPS Discussion Papers 14-03, National Graduate Institute for Policy Studies.
    3. Jales, Hugo & Ma, Jun & Yu, Zhengfei, 2017. "Optimal bandwidth selection for local linear estimation of discontinuity in density," Economics Letters, Elsevier, vol. 153(C), pages 23-27.

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