Optimal bandwidth selection for local linear estimation of discontinuity in density

Hugo Jales; Jun Ma; Zhengfei Yu

doi:10.1016/j.econlet.2017.01.024

Optimal bandwidth selection for local linear estimation of discontinuity in density

Hugo Jales, Jun Ma, Zhengfei Yu

Department of Economics

Research output: Contribution to journal › Article › peer-review

4 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 language	English (US)
Pages (from-to)	23-27
Number of pages	5
Journal	Economics Letters
Volume	153
DOIs	https://doi.org/10.1016/j.econlet.2017.01.024
State	Published - Apr 1 2017

Keywords

Bandwidth selection
Density discontinuity
Local linear estimation

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2017.01.024

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title = "Optimal bandwidth selection for local linear estimation of discontinuity in density",

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){\textquoteright}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.",

keywords = "Bandwidth selection, Density discontinuity, Local linear estimation",

author = "Hugo Jales and Jun Ma and Zhengfei Yu",

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T1 - Optimal bandwidth selection for local linear estimation of discontinuity in density

AU - Jales, Hugo

AU - Ma, Jun

AU - Yu, Zhengfei

PY - 2017/4/1

Y1 - 2017/4/1

N2 - 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.

AB - 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.

KW - Bandwidth selection

KW - Density discontinuity

KW - Local linear estimation

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DO - 10.1016/j.econlet.2017.01.024

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VL - 153

SP - 23

EP - 27

JO - Economics Letters

JF - Economics Letters

ER -

Optimal bandwidth selection for local linear estimation of discontinuity in density

Abstract

Keywords

ASJC Scopus subject areas

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