NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Optimal Bandwidth Choice for the Regression Discontinuity Estimator

Guido Imbens, Karthik Kalyanaraman

NBER Working Paper No. 14726
Issued in February 2009
NBER Program(s):   LS   TWP

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.

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Document Object Identifier (DOI): 10.3386/w14726

Published: Review of Economic Studies (2011) doi: 10.1093/restud/rdr043 First published online: November 24, 2011

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