Optimal bandwidth choice for the regression discontinuity estimator

Guido Imbens and Karthik Kalyanaraman

No CWP05/10, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

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). We derive the optimal bandwidth. This optimal bandwidth depends on unknown functionals of the distribution of the data and we propose specific, consistent, estimators for these functionals to obtain a fully data-driven bandwidth choice that has the "asymptotic no-regret" property. We illustrate our proposed bandwidth, and the sensitivity to the choices made in this bandwidth proposal, using a data set previously analyzed by Lee (2008), as well as a small simulation study based on the Lee data set. The simulations suggest that the proposed rule performs well.

Date: 2010-03-04
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (27)

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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 (2009)
Working Paper: Optimal Bandwidth Choice for the Regression Discontinuity Estimator (2009)
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