TY  - JOUR
AU  - Imbens,Guido
AU  - Kalyanaraman,Karthik
TI  - Optimal Bandwidth Choice for the Regression Discontinuity Estimator
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 14726
PY  - 2009
Y2  - February 2009
UR  - http://www.nber.org/papers/w14726
L1  - http://www.nber.org/papers/w14726.pdf
N1  - Author contact info:
Guido Imbens
Department of Economics
Littauer Center
Harvard University
1805 Cambridge Street
Cambridge, MA 02138
Tel: 617/384-7485
Fax: 617/495-7730
E-Mail: imbens@fas.harvard.edu

Karthik Kalyanaraman
Dept of Economics
Littauer Center
Harvard University
1805 Cambridge Street
Cambridge, MA 02138
E-Mail: k.kalyanaraman@ucl.ac.uk
AB  - 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.
ER  -