Optimal bandwidth selection for differences of nonparametric estimators with an application to the sharp regression discontinuity design

Yoichi Arai and Hidehiko Ichimura

No CWP27/13, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

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 minimisation 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. This article is accompanied by a web appendix in which we present omitted discussions, an algorithm to implement the proposed method for the sharp RSS and proofs for the main results.

Date: 2013-06-17
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.cemmap.ac.uk/wps/cwp271313.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Working Paper: Optimal bandwidth selection for differences of nonparametric estimators with an application to the sharp regression discontinuity design (2013)
Working Paper: Optimal Bandwidth Selection for Differences of Nonparametric Estimators with an Application to the Sharp Regression Discontinuity Design (2013)
Working Paper: Optimal Bandwidth Selection for Differences of Nonparametric Estimators with an Application to the Sharp Regression Discontinuity Design (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:27/13

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
mailbox@ifs.org.uk

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman (emma_h@ifs.org.uk).