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


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Optimal RD Bandwidth Choice also for Rectangular Kernel?
Date   Thu, 26 May 2011 11:30:57 -0400

andreas nordset <andreas.nordset@gmail.com>:

You can multiply by 5.4/3.4375 or 1.57,
or you can specify the uniform option and have their program do it for you.

On Thu, May 26, 2011 at 10:54 AM, andreas nordset
<andreas.nordset@gmail.com> wrote:
> 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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