Optimal bandwidth selection for local linear estimation of discontinuity in density

Hugo Jales, Jun Ma, Zhengfei Yu

Research output: Contribution to journalArticle

1 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)23-27
Number of pages5
JournalEconomics Letters
Volume153
DOIs
StatePublished - Apr 1 2017

Keywords

  • Bandwidth selection
  • Density discontinuity
  • Local linear estimation

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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