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Re: st: Optimal RD Bandwidth Choice also for Rectangular Kernel?


From   andreas nordset <andreas.nordset@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Optimal RD Bandwidth Choice also for Rectangular Kernel?
Date   Thu, 26 May 2011 16:54:21 +0200

Thanks so much Austin!

It says h_opt = CK times other things, so once I have the h_opt for
the triangular kernel, I will just divide by the CK=3.4375 that they
say is the CK value for the triangular edge kernel, and multiply
instead by the CK applicable to the uniform kernel,
where I should be able to compute the latter from the formulas given then?

Thanks again and all best,
AN


Austin Nichols <austinnichols@gmail.com>:

> andreas nordset <andreas.nordset@gmail.com>:
>
> The two differ by a constant as explained in the WP; in the code look for
>
> if "`uniform'"~="" {
> local CK = 5.4
> }
> else {
> local CK = 3.4375
> }
>
>
> On Wed, May 25, 2011 at 12:37 PM, andreas nordset
> <andreas.nordset@gmail.com> wrote:
>> Dear Statalist members,
>>
>> I would like to use the -rdob- Optimal-Bandwidth RD estimator by
>> Fuji-Imbens-Kalyanaraman,
>> as posted at http://www.economics.harvard.edu/faculty/imbens/software_imbens
>> together with the relevant documentation / help file,
>> and based on [Imbens, Guido and Karthik Kalyanaraman, "Optimal
>> Bandwidth Choice for the Regression Discontinuity Estimator", NBER WP
>> 14726, Feb. 2009].
>>
>> Now, if I understand the documentation there correctly, the algorithm
>> it uses is based on the use of a triangular kernel, and I understand
>> the documentation as saying that which bandwidth is optimal will vary
>> with the kernel chosen.
>> At the same time though, I understand Imbens-Lemieux 2009 [Imbens,
>> Guido and Thomas Lemieux, "Regression discontinuity designs: A guide
>> to practice", Journal of Econometrics 2008, as suggesting that a
>> sensible baseline specification is to use a simple rectangular kernel
>> and then just check sensitivity to the bandwidth.
>>
>> So I'm wondering whether any of you could think of a way to find out
>> what the optimal bandwidth would be when using a rectangular rather
>> than a triangular kernel, short of writing an alternative to the
>> -rdob- ado file?
>>
>> Thank you so much and best regards,
>> AN
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