Working Paper: NBER ID: w14726
Authors: Guido Imbens; Karthik Kalyanaraman
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). 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.
Keywords: No keywords provided
JEL Codes: C14
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| optimal bandwidth (H21) | accuracy of RD estimates (C13) |
| choice of bandwidth (C45) | accuracy of RD estimates (C13) |
| optimal bandwidth (H21) | causal effects at the threshold (C24) |
| accuracy of RD estimates (C13) | causal effects at the threshold (C24) |