Optimal bandwidth choice for the regression discontinuity estimator. The method chooses two bandwidths simultaneously, one f. My recommendation is to simply use statas default optimal bandwidth if you are interested, it is chosen by crossvalidation. Rd plots are nowadays widely used in applications, despite its formal properties being unknown. First, we present rdrobust, a command that implements the. Depending on the type of treatment there may be crosscontamination between those eligible for the intervention and those who are not. We show that this bandwidth estimator is optimal according to the criterion of li 1987, asymptotic optimality for c p, c l, crossvalidation and generalized crossvalidation. Optimal bandwidth choice for the regression discontinuity estimator, cemmap working papers cwp0510, centre. C14 abstract we investigate the problem of optimal choice of the smoothing parameter bandwidth for the regression discontinuity estimator.
Nonetheless, there is increasing evidence that obesity may originate as early as the fetal period. For general background on these settings, see imbens and rubin and abadie and cattaneo. The bandwidth proposed by ik is obtained by minimizing the asymptotic approximation. The main new features of this upgraded version are as follows. Changes in rapid hiv treatment initiation after national. Since the focus is solely on the change in the value of the regression function at the threshold, standard plugin methods and crossvalidation methods, which choose a bandwidth that is optimal for estimating the regression function over the entire support, do not yield an optimal bandwidth here. Simply select your manager software from the list below and click on download. Indeed i would underline his argument with further points. Optimal rd bandwidth choice also for rectangular kernel. Ppt regressiondiscontinuity design powerpoint presentation.
One notable exception is the bandwidth selection procedure proposed by imbens and kalyanaraman 2012 hereafter ik to choose the same bandwidth to estimate two functions on both sides of the discontinuity point. We describe a major upgrade to the stata and r rdrobust package, which provides a wide array of. Optimal bandwidth choice for the regression discontinuity estimator guido imbens and karthik kalyanaraman nber working paper no. Optimal bandwidth selection for differences of nonparametric. Simultaneous selection of optimal bandwidths for the sharp regression discontinuity estimator yoichi araiyand hidehiko ichimuraz abstract a new bandwidth selection rule that uses di erent bandwidths for the local linear regression estimators on the left and the right of the cuto point is proposed for. There has been a growing use of regression discontinuity design rdd, introduced by thistlewaite and campbell 1960, in evaluating impacts of development programs. We investigate the problem of optimal choice of the smoothing parameter bandwidth for the regression discontinuity estimator. Bandwidth selection and the estimation of treatment effects. Estimating average treatment effects in stata, west coast stata users group meetings 2007 18, stata. An empirical strategies workshop master joshway the interamerican development bank. Implementing matching estimators for average treatment effects in stata. Obesity is often considered to be highly related to unhealthy lifestyle, such as high. Solid lines are the fitted values from the local linear regression with the optimal bandwidth calculated using imbens and kalyanarams approach, and the dashed lines are the 95% confidence intervals. R code to implement the imbenskalyanaraman bandwidth.
I am having issues with the estimation of an optimal bandwidth using the rd command i am using stata 14. There is a large theoretical literature on methods for estimating causal effects under unconfoundedness, exogeneity, or selectiononobservables type assumptions using matching or propensity score methods. Investigation of an expectedsquared errorloss criterion reveals the need for regularization. Stata lets you choose a bandwidth di erent than the default. This is the estimate under the bandwidth thats selected using the imbens and kalyanaraman 2009 procedure. Correct specification of bandwidth for nonparametric estimates. First, we present rdrobust, a command that implements the robust biascorrected confidence intervals proposed in calonico, cattaneo, and titiunik 2014d, econometrica 82. Section 5 describes the monte carlo analysis and its findings while section 6 describes our application of the various bandwidth. We propose an optimal, data dependent, bandwidth choice rule.
Exploratory data analysis plays a central role in applied statistics and econometrics. These methods are meant to assist the researcher with objective selection of the optimal bandwidth for their application, considering the biasvariance tradeoff. Calonico, cattaneo, and titiunik 2015a and gelman and imbens 2019. Optimal bandwidth choice for robust biascorrected inference. Optimal bandwidth selection for the fuzzy regression discontinuity estimator yoichi arai a and hidehiko ichimurab anational graduate institute for policy studies grips, 7221 roppongi, minatoku, tokyo 1068677, japan. Optimal bandwidth selection for differences of nonparametric estimators with an application to the sharp regression discontinuity design yoichi arai hidehiko ichimura the institute for fiscal studies department of economics, ucl cemmap working paper cwp27.
We focus on estimation by local linear regression, which was shown to be rate optimal porter, 2003. Estimated treatment effects using bandwidths that were. Software for regressiondiscontinuity designs we describe a. Author links open overlay panel yoichi arai a hidehiko ichimura b. A new bandwidth selection method for the fuzzy regression discontinuity estimator is proposed. We examined the effect of immediate versus deferred art on retention in care using a regression discontinuity design. Recent work has described datadriven tests for selection of the optimal bandwidth for the regression discontinuity design 27, 28. Current information and listing of economic research for guido imbens with repec shortid pim4. Software for regressiondiscontinuity designs matias d. 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. Bandwidth selection and the estimation of treatment effects with unbalanced data jose galdo. Data analysis and statistical software stata downloads. There are many methods of optimal bandwidth choice, but this is an advanced topic. Kalyanaramanoptimal bandwidth choice for the regression discontinuity estimator.
Used imbens kalyanaraman 2010 algorithm for choosing optimal bandwidth. Optimal bandwidth choice for robust biascorrected inference in regression discontinuity designs. Causal inference for statistics, social, and biomedical. Penalties are based on the excess readmission ratio err, a measure that adjusts for risk and compares hospital readmission rates to the national average. R code to implement the imbens kalyanaraman bandwidth selection in rdd. Test for the comparability of units within the bandwidth using leaveoneout cross validation test ludwig and miller 2007, imbens and lemieux 2008 or asymptotic theory imbens and kalyanaraman 2009. Causal inference for statistics, social, and biomedical sciences. Dec 15, 2017 hospital readmission reduction program. Optimal bandwidth choice for the regression discontinuity estimator, the restud 2011. Graphs truncated at a maximum prostatespecific antigen of 15 ngml for ease of presentation includes 99% of prostatespecific antigen levels. In this groundbreaking text, two worldrenowned experts present statistical methods for studying such questions.
Robust datadriven inference in the regressiondiscontinuity. We focus on estimation by local linear regression, which was shown to have attractive properties porter, j. Angrist, identification and estimation of local average treatment effects. The stata newsa periodic publication containing articles on using stata and tips on using the software, announcements of new releases and updates, feature highlights, and other announcements of interest to interest to stata usersis sent to all stata users and those who request information about stata from us. This crossvalidation can be done either by using leaveoneout least squares crossvalidation or by leaveone. We describe a major upgrade to the stata and r rdrobust package, which. The optimal bandwidth will tend to be larger for a fuzzy design due to the. Which is the formula from silverman to calculate the bandwidth in a kernel density estimation. Optimal bandwidth for rd nber working paper series. January 2010 abstract we investigate the problem of optimal choice of the smoothing parameter bandwidth for the regression discontinuity estimator. This command is no longer supported or updated, and it is made available only for backward compatibility purposes. This is some work i did one weekend 20120617 to reconcile the estimates of optimal bandwidth provided by code written by devin caughey and code provided on guido imbens website first, lets get some test data.
Mse optimal bandwidth selection for the local polynomial rd. Bandwidth selection and the estimation of treatment. Phillips, and sainan jin1 this paper considers studentized tests in time series regressions with nonparametrically autocorrelated errors. If you have the appropriate software installed, you can download article citation data to the citation manager of your choice. Regression discontinuity issue with optimal bandwidth estimation. On the other hand, bandwidth is central to the shape of the density. Regression discontinuity design in stata part 1 stata daily.
Discrete index set, annals of statistics, 15, 958975, although it is not unique in the sense that alternative consistent estimators for the unknown functionals. Optimal bandwidth choice for interval estimation in gmm regression yixiao sun department of economics university of california, san diego peter c. Dear all, i am having issues with the estimation of an optimal bandwidth using the rd command i am using stata 14. The optimal bandwidth authors matthieu stigler references. The other coefficients are estimates with different bandwidths. The studentization is based on robust standard errors with. Treatment eligibility and retention in clinical hiv care. Calonico, cattaneo, and titiunik 2015a and gelman and imbens 2019 discuss the role of global polynomial estimation for rd analysis. Ikbandwidth calculates the imbens kalyanaraman optimal bandwidth for local linear regression in regression discontinuity designs. In the popular regressiondiscontinuity rd design, the use of graphical analysis has been strongly advocated because it provides both easy presentation and transparent validation of the design.
Optimal bandwidth for rd nber working paper series optimal. Rddtools is a new r package under development, designed to offer a set of tools to run all the steps required for a regression discontinuity design rdd analysis, from primary data visualisation to discontinuity estimation, sensitivity and placebo testing. Section 4 lays out the various bandwidth selection schemes we examine. Mseoptimal bandwidth selection for the local polynomial rd.
We describe a major upgrade to the stata and r rdrobust package. Although this command can be used as a standalone bandwidth selector in rd applications, its main purpose is to provide fully datadriven bandwidth choices to be used by rdrobust. The analysis included all patients n 11,306 entering clinical hiv care with a first cd4 count between 12 august 2011 and 31 december 2012 in a publicsector hiv care and treatment program in rural south africa. Local average treatment effect and regressiondiscontinuity. The stata package rdrobust accompanying calonico et al. Simultaneous selection of optimal bandwidths for the sharp. We investigate the choice of the bandwidth for the regression discontinuity estimator. The choice of bandwidth, h, is the key parameter when implementing the rd estimator, and we discuss this choice in detail below. Regression discontinuity design in stata part 1 stata. In this section, we develop an estimator for the bandwidth and discuss its asymptotic properties.
Under stata versions 10 or later using lpoly to construct local regression estimates. Optimal bandwidth choice for the regression discontinuity. R code to implement the imbenskalyanaraman bandwidth selection in rdd. Prostate cancer risk categories defined by damico classification without prostatespecific antigen level. At the same time, the conventional crossvalidation approach selects the bandwidth using only. Regression discontinuity issue with optimal bandwidth. Optimal bandwidth selection for the fuzzy regression. Dec 16, 2015 there has been a growing use of regression discontinuity design rdd, introduced by thistlewaite and campbell 1960, in evaluating impacts of development programs.
R lpoly in stata 10, else locpoly findit locpoly to install r ivregress in stata 10. Optimal bandwidth choice for the regression discontinuity estimator guido imbens, karthik kalyanaraman. Youll see above that the optimal bandwidth was calculated as 0. The proposed bandwidth estimator is fully data driven and based on substituting consistent estimators for the various components of the optimal bandwidth given in equation 7. This is some work i did one weekend 20120617 to reconcile the estimates of optimal bandwidth provided by code written by devin caughey and code provided on guido imbens website. Nov 12, 2019 the kernel and bandwidth serve to localize the regression fit near the cutoff. Most questions in social and biomedical sciences are causal in nature. This chapter addresses two different but related approaches, both widely used within the literature on the econometrics of program evaluation. Optimal bandwidth selection for the fuzzy regression discontinuity estimator. The default bandwidth from imbens and kalyanaraman 2009 is designed to. C14 abstract we investigate the problem of optimal choice of the smoothing parameter bandwidth for. Contribute to matthieustiglerrddtools development by creating an account on github. Which is the formula from silverman to calculate the.
328 686 1361 799 276 1125 285 935 645 1461 124 436 509 798 697 1176 167 663 498 1118 127 876 1193 1092 389 451 1380 1155 839