Optimal rd bandwidth choice also for rectangular kernel. C14 abstract we investigate the problem of optimal choice of the smoothing parameter bandwidth for. Data analysis and statistical software stata downloads. Bandwidth selection and the estimation of treatment effects. Prostate cancer risk categories defined by damico classification without prostatespecific antigen level. Nonetheless, there is increasing evidence that obesity may originate as early as the fetal period. A new bandwidth selection method for the fuzzy regression discontinuity estimator is proposed. Software for regressiondiscontinuity designs matias d. There has been a growing use of regression discontinuity design rdd, introduced by thistlewaite and campbell 1960, in evaluating impacts of development programs. Simply select your manager software from the list below and click on download. Optimal bandwidth choice for the regression discontinuity estimator guido imbens, karthik kalyanaraman. Stata lets you choose a bandwidth di erent than the default.
Estimating average treatment effects in stata, west coast stata users group meetings 2007 18, stata. Most questions in social and biomedical sciences are causal in nature. 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. Which is the formula from silverman to calculate the bandwidth in a kernel density estimation. Local average treatment effect and regressiondiscontinuity. I am having issues with the estimation of an optimal bandwidth using the rd command i am using stata 14. R code to implement the imbens kalyanaraman bandwidth selection in rdd.
C14 abstract we investigate the problem of optimal choice of the smoothing parameter bandwidth for the regression discontinuity estimator. Causal inference for statistics, social, and biomedical. 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. Optimal bandwidth choice for the regression discontinuity estimator, cemmap working papers cwp0510, centre. In this section, we develop an estimator for the bandwidth and discuss its asymptotic properties. Optimal bandwidth choice for the regression discontinuity estimator. Youll see above that the optimal bandwidth was calculated as 0. Optimal bandwidth for rd nber working paper series. 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 investigate the problem of optimal choice of the smoothing parameter bandwidth for the regression discontinuity estimator. Optimal bandwidth choice for the regression discontinuity. Ppt regressiondiscontinuity design powerpoint presentation. This command is no longer supported or updated, and it is made available only for backward compatibility purposes. 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. Investigation of an expectedsquared errorloss criterion reveals the need for regularization. Optimal bandwidth choice for interval estimation in gmm regression yixiao sun department of economics university of california, san diego peter c. Indeed i would underline his argument with further points. 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. Exploratory data analysis plays a central role in applied statistics and econometrics. This crossvalidation can be done either by using leaveoneout least squares crossvalidation or by leaveone. Ikbandwidth calculates the imbens kalyanaraman optimal bandwidth for local linear regression in regression discontinuity designs. Depending on the type of treatment there may be crosscontamination between those eligible for the intervention and those who are not.
We propose an optimal, data dependent, bandwidth choice rule. Optimal bandwidth choice for the regression discontinuity estimator guido imbens and karthik kalyanaraman nber working paper no. Obesity is often considered to be highly related to unhealthy lifestyle, such as high. Rd plots are nowadays widely used in applications, despite its formal properties being unknown. 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. We focus on estimation by local linear regression, which was shown to be rate optimal porter, 2003. Regression discontinuity issue with optimal bandwidth estimation. Recent work has described datadriven tests for selection of the optimal bandwidth for the regression discontinuity design 27, 28. We describe a major upgrade to the stata and r rdrobust package, which.
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. Software for regressiondiscontinuity designs we describe a. We focus on estimation by local linear regression, which was shown to have attractive properties porter, j. Section 5 describes the monte carlo analysis and its findings while section 6 describes our application of the various bandwidth. Mseoptimal bandwidth selection for the local polynomial rd. Implementing matching estimators for average treatment effects in stata. The other coefficients are estimates with different bandwidths.
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. The method chooses two bandwidths simultaneously, one f. This is the estimate under the bandwidth thats selected using the imbens and kalyanaraman 2009 procedure. The stata package rdrobust accompanying calonico et al. 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. Used imbens kalyanaraman 2010 algorithm for choosing optimal bandwidth. My recommendation is to simply use statas default optimal bandwidth if you are interested, it is chosen by crossvalidation.
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. For general background on these settings, see imbens and rubin and abadie and cattaneo. Changes in rapid hiv treatment initiation after national. Optimal bandwidth choice for interval estimation in gmm. At the same time, the conventional crossvalidation approach selects the bandwidth using only. Regression discontinuity issue with optimal bandwidth. We investigate the choice of the bandwidth for the regression discontinuity estimator. The effect of the hospital readmission reduction program on. Correct specification of bandwidth for nonparametric estimates. The bandwidth proposed by ik is obtained by minimizing the asymptotic approximation. Current information and listing of economic research for guido imbens with repec shortid pim4. Dear all, i am having issues with the estimation of an optimal bandwidth using the rd command i am using stata 14. Mse optimal bandwidth selection for the local polynomial rd.
Calonico, cattaneo, and titiunik 2015a and gelman and imbens 2019 discuss the role of global polynomial estimation for rd analysis. We describe a major upgrade to the stata and r rdrobust package, which provides a wide array of. R code to implement the imbenskalyanaraman bandwidth selection in rdd. 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. Regression discontinuity for causal effect estimation in. Simultaneous selection of optimal bandwidths for the sharp. Regression discontinuity design in stata part 1 stata daily. Optimal bandwidth for rd nber working paper series optimal.
Graphs truncated at a maximum prostatespecific antigen of 15 ngml for ease of presentation includes 99% of prostatespecific antigen levels. 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. 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. 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. The effect of the hospital readmission reduction program. 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. The optimal bandwidth will tend to be larger for a fuzzy design due to the.
If you have the appropriate software installed, you can download article citation data to the citation manager of your choice. These methods are meant to assist the researcher with objective selection of the optimal bandwidth for their application, considering the biasvariance tradeoff. R code to implement the imbenskalyanaraman bandwidth. Section 4 lays out the various bandwidth selection schemes we examine. First, we present rdrobust, a command that implements the.
Penalties are based on the excess readmission ratio err, a measure that adjusts for risk and compares hospital readmission rates to the national average. There are many methods of optimal bandwidth choice, but this is an advanced topic. Angrist, identification and estimation of local average treatment effects. Phillips, and sainan jin1 this paper considers studentized tests in time series regressions with nonparametrically autocorrelated errors. Kalyanaramanoptimal bandwidth choice for the regression discontinuity estimator. 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. Optimal bandwidth choice for the regression discontinuity estimator, the restud 2011. Robust datadriven inference in the regressiondiscontinuity. The choice of bandwidth, h, is the key parameter when implementing the rd estimator, and we discuss this choice in detail below. First, we present rdrobust, a command that implements the robust biascorrected confidence intervals proposed in calonico, cattaneo, and titiunik 2014d, econometrica 82. Dec 15, 2017 hospital readmission reduction program. Regression discontinuity design in stata part 1 stata. On the other hand, bandwidth is central to the shape of the density.
The optimal bandwidth authors matthieu stigler references. 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. Optimal bandwidth selection for the fuzzy regression discontinuity estimator. Which is the formula from silverman to calculate the. Calonico, cattaneo, and titiunik 2015a and gelman and imbens 2019. Nov 12, 2019 the kernel and bandwidth serve to localize the regression fit near the cutoff. We describe a major upgrade to the stata and r rdrobust package. 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. Optimal bandwidth selection for differences of nonparametric. Causal inference for statistics, social, and biomedical sciences. Author links open overlay panel yoichi arai a hidehiko ichimura b. Treatment eligibility and retention in clinical hiv care. We examined the effect of immediate versus deferred art on retention in care using a regression discontinuity design.
This chapter addresses two different but related approaches, both widely used within the literature on the econometrics of program evaluation. 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. Bandwidth selection and the estimation of treatment. Optimal bandwidth selection for the fuzzy regression. Optimal bandwidth choice for robust biascorrected inference in regression discontinuity designs. An empirical strategies workshop master joshway the interamerican development bank. In this groundbreaking text, two worldrenowned experts present statistical methods for studying such questions.
The default bandwidth from imbens and kalyanaraman 2009 is designed to. Contribute to matthieustiglerrddtools development by creating an account on github. Under stata versions 10 or later using lpoly to construct local regression estimates. Established as part of the affordable care act, the hrrp reduces medicare prospective payments up to 3 percent for hospitals with more than expected 30day readmissions. 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 robust biascorrected inference. The studentization is based on robust standard errors with.
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