Optimal Bandwidth for RD

Optimal Bandwidth for RD - NBER WORKING PAPER SERIES...

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Unformatted text preview: NBER WORKING PAPER SERIES OPTIMAL BANDWIDTH CHOICE FOR THE REGRESSION DISCONTINUITY ESTIMATOR Guido Imbens Karthik Kalyanaraman Working Paper 14726 http://www.nber.org/papers/w14726 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 February 2009 Financial support for this research was generously provided through NSF grants 0452590 and 0820361. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research. © 2009 by Guido Imbens and Karthik Kalyanaraman. All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including © notice, is given to the source. Optimal Bandwidth Choice for the Regression Discontinuity Estimator Guido Imbens and Karthik Kalyanaraman NBER Working Paper No. 14726 February 2009 JEL No. C14 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. Guido Imbens Department of Economics Littauer Center Harvard University 1805 Cambridge Street Cambridge, MA 02138 and NBER [email protected] Karthik Kalyanaraman Dept of Economics Littauer Center Harvard University 1805 Cambridge Street Cambridge, MA 02138 [email protected] 1 Introduction Regression discontinuity (RD) designs for evaluating causal effects of interventions, where as- signment is determined at least partly by the value of an observed covariate lying on either side of a threshold, were introduced by Thistlewaite and Campbell (1960). See Cook (2008) for a historical perspective. A recent surge of applications in economics includes studies of the impact of financial aid offers on college acceptance (Van Der Klaauw, 2002), school quality on housing values (Black, 1999), class size on student achievement (Angrist and Lavy, 1999), air quality on health outcomes (Chay and Greenstone, 2005), and incumbency on reelection (Lee, 2008). Recent important theoretical work has dealt with identification issues (Hahn, Todd, and Van Der Klaauw, 2001, HTV from hereon), optimal estimation (Porter, 2003), tests for validity of the design (McCrary, 2008), quantile effects (Frandsen, 2008; Fr¨ olich and Melly, 2008), and the inclusion of covariates (Fr¨ olich, 2007). General surveys include Lee and Lemieux (2009), Van Der Klaauw (2008), and Imbens and Lemieux (2008)....
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This note was uploaded on 12/26/2011 for the course ECON 245a taught by Professor Staff during the Fall '08 term at UCSB.

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Optimal Bandwidth for RD - NBER WORKING PAPER SERIES...

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