Optimal bandwidth selection for local linear estimation of discontinuity in density

C-Tier
Journal: Economics Letters
Year: 2017
Volume: 153
Issue: C
Pages: 23-27

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We derive an optimal bandwidth selection rule for estimating a function of two one-sided limits of the probability density function at two cut-off points by the local linear estimation method. Our rule follows Arai and Ichimura (2015, AI, hereafter)’s principle and selects two bandwidths simultaneously, one for each cut-off point. Simulation results are presented. We also illustrate the usefulness of the method in an empirical application.

Technical Details

RePEc Handle
repec:eee:ecolet:v:153:y:2017:i:c:p:23-27
Journal Field
General
Author Count
3
Added to Database
2026-01-25