Simultaneous selection of optimal bandwidths for the sharp regression discontinuity estimator
Simultaneous selection of optimal bandwidths for the sharp regression discontinuity estimator
复制标题
DOI：
10.1920/wp.cem.2015.4215
复制
发表时间：
2014-07
影响因子：
1.8
通讯作者：
Y. Arai;Hidehiko Ichimura
中科院分区：
文献类型：
--
作者：
Y. Arai;Hidehiko Ichimura
针对截断点处平均程序影响的锐回归间断估计，提出了一种新的带宽选择规则，即截断点左右的局部线性回归估计采用不同的带宽.使用建议的带宽选择规则的估计的渐近均方误差被证明是小于其他带宽选择规则在文献中提出的。一个广泛的模拟研究表明，所提出的方法的性能的样本量为500，2000，和5000密切匹配的理论预测。本文的补充材料可在此处查阅。
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 cut-off 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. Supplementary material for this paper is available here.