Optimal Bandwidth Choice for the Regression Discontinuity Estimator

We investigate the choice of the bandwidth for the regression discontinuity estimator. We focus on estimation by local linear regression, which was shown to have attractive properties (<cross-ref type="bib" refid="bib23">Porter, J. 2003</cross-ref>, “Estimation in the Regression Discontinuity Model” (unpublished, Department of Economics, University of Wisconsin, Madison)). We derive the asymptotically optimal bandwidth under squared error loss. This optimal bandwidth depends on unknown functionals of the distribution of the data and we propose simple and consistent estimators for these functionals to obtain a fully data-driven bandwidth algorithm. We show that this bandwidth estimator is optimal…