Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/35551
Authors: 
Imbens, Guido W.
Kalyanaraman, Karthik
Year of Publication: 
2009
Series/Report no.: 
IZA discussion papers 3995
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.
Subjects: 
Optimal bandwidth selection
local linear regression
regression discontinuity designs
JEL: 
C14
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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