Inference in regression discontinuity designs with high-dimensional covariates

Alexander Kreiss and Christoph Rothe

The Econometrics Journal, 2023, vol. 26, issue 2, 105-123

Abstract: SummaryWe study regression discontinuity designs in which many predetermined covariates, possibly much more than the number of observations, can be used to increase the precision of treatment effect estimates. We consider a two-step estimator which first selects a small number of ‘important’ covariates through a localised lasso-type procedure, and then, in a second step, estimates the treatment effect by including the selected covariates linearly into the usual local linear estimator. We provide an in-depth analysis of the algorithm’s theoretical properties, showing that, under an approximate sparsity condition, the resulting estimator is asymptotically normal, with asymptotic bias and variance that are conceptually similar to those obtained in low-dimensional settings. Bandwidth selection and inference can be carried out using standard methods. We also provide simulations and an empirical application.

Keywords: Lasso; regression discontinuity designs; variable selection (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:oup:emjrnl:v:26:y:2023:i:2:p:105-123.

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