Optimal Bandwidth Selection for the Fuzzy Regression Discontinuity Estimator

TL;DR

This paper introduces a novel bandwidth selection method for fuzzy regression discontinuity estimators that optimizes mean square error by choosing two bandwidths simultaneously, improving estimation accuracy.

Contribution

It proposes a new method for selecting two bandwidths simultaneously in fuzzy RDD, accounting for second-order bias, which was not addressed in prior approaches.

Findings

Simulation results show improved estimation accuracy.

The method effectively balances bias and variance.

Enhanced performance over existing bandwidth selection techniques.

Abstract

A new bandwidth selection method for the fuzzy regression discontinuity estimator is proposed. The method chooses two bandwidths simultaneously, one for each side of the cut-off point by using a criterion based on the estimated asymptotic mean square error taking into account a second-order bias term. A simulation study demonstrates the usefulness of the proposed method.