A Simple Adjustment for Bandwidth Snooping

Timothy Armstrong and Michal Kolesar
Additional contact information
Michal Kolesar: Princeton University

No 1961R2, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: Kernel-based estimators are often evaluated at multiple bandwidths as a form of sensitivity analysis. However, if in the reported results, a researcher selects the bandwidth based on this analysis, the associated confidence intervals may not have correct coverage, even if the estimator is unbiased. This paper proposes a simple adjustment that gives correct coverage in such situations: replace the normal quantile with a critical value that depends only on the kernel and ratio of the maximum and minimum bandwidths the researcher has entertained. We tabulate these critical values and quantify the loss in coverage for conventional confidence intervals. For a range of relevant cases, a conventional 95% confidence interval has coverage between 70% and 90%, and our adjustment amounts to replacing the conventional critical value 1.96 with a number between 2.2 and 2.8. Our results also apply to other settings involving trimmed data, such as trimming to ensure overlap in treatment effect estimation. A Monte Carlo study confirms that our approach gives accurate coverage in finite samples. We illustrate our approach with three empirical applications.

Keywords: Nonparametric estimation; Multiple testing; Regression discontinuity (search for similar items in EconPapers)
JEL-codes: C01 C14 (search for similar items in EconPapers)
Pages: 101 pages
Date: 2014-12, Revised 2016-10
Note: Includes Supplemental Material
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Related works:
Journal Article: A Simple Adjustment for Bandwidth Snooping (2018)
Working Paper: A Simple Adjustment for Bandwidth Snooping (2017)
Working Paper: A Simple Adjustment for Bandwidth Snooping (2015)
Working Paper: A Simple Adjustment for Bandwidth Snooping (2014)
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