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Optimal bandwidth selection for the fuzzy regression discontinuity estimator

Authors: Yoichi Arai and Hidehiko Ichimura
Date: 01 April 2016
Type: Journal Article, Economics Letters, Vol. 141, pp. 103--106
DOI: 10.1016/j.econlet.2016.01.024

Abstract

A new bandwidth selection method for the fuzzy regression discontinuity estimator is proposed. The method chooses two bandwidths simultaneously, one for each side of the cut-off point by using a criterion based on the estimated asymptotic mean square error taking into account a second-order bias term. A simulation study demonstrates the usefulness of the proposed method.

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Yoichi Arai and Hidehiko Ichimura September 2015, Optimal bandwidth selection for the fuzzy regression discontinuity estimator, cemmap Working Paper, CWP49/15, Institute for Fiscal Studies

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