Simultaneous Selection of Optimal Bandwidths for the Sharp Regression Discontinuity Estimator

Yoichi Arai and Hidehiko Ichimura

No CIRJE-F-984, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: A new bandwidth selection rule that uses different bandwidths for the local linear regression estimators on the left and the right of the cut-off point is proposed for the sharp regression discontinuity estimator of the mean program impact at the cutoff point. The asymptotic mean squared error of the estimator using the proposed bandwidth selection rule is shown to be smaller than other bandwidth selection rules proposed in the literature. An extensive simulation study shows that the proposed method's performances for the samples sizes 500, 2000, and 5000 closely match the theoretical predictions. --

Pages: 45 pages
Date: 2015-07
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (7)

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http://www.cirje.e.u-tokyo.ac.jp/research/dp/2015/2015cf984.pdf (application/pdf)

Related works:
Journal Article: Simultaneous selection of optimal bandwidths for the sharp regression discontinuity estimator (2018)
Working Paper: Simultaneous selection of optimal bandwidths for the sharp regression discontinuity estimator (2015)
Working Paper: Simultaneous selection of optimal bandwidths for the sharp regression discontinuity estimator (2015)
Working Paper: Simultaneous Selection of Optimal Bandwidths for the Sharp Regression Discontinuity Estimator (2014)
Working Paper: Simultaneous Selection of Optimal Bandwidths for the Sharp Regression Discontinuity Estimator (2014)
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