Optimal Bandwidth Choice for the Regression Discontinuity Estimator

Guido Imbens and Karthik Kalyanaraman

No 14726, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: C14 (search for similar items in EconPapers)
Date: 2009-02
New Economics Papers: this item is included in nep-ecm
Note: LS TWP
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Citations: View citations in EconPapers (166)

Published as Review of Economic Studies (2011) doi: 10.1093/restud/rdr043 First published online: November 24, 2011

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Related works:
Journal Article: Optimal Bandwidth Choice for the Regression Discontinuity Estimator (2012)
Working Paper: Optimal bandwidth choice for the regression discontinuity estimator (2010)
Working Paper: Optimal Bandwidth Choice for the Regression Discontinuity Estimator (2009)
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