1 option
Optimal Bandwidth Choice for the Regression Discontinuity Estimator / Guido Imbens, Karthik Kalyanaraman.
- Format:
- Book
- Author/Creator:
- Imbens, Guido.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w14726.
- NBER working paper series no. w14726
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2009.
- Summary:
- 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). Investigation of an expected-squared-error-loss criterion reveals the need for regularization. We propose an optimal, data dependent, bandwidth choice rule. We illustrate the proposed bandwidth choice using data previously analyzed by Lee (2008), as well as in a simulation study based on this data set. The simulations suggest that the proposed rule performs well.
- Notes:
- Print version record
- February 2009.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.