Minimum Contrast Empirical Likelihood Inference of Discontinuity in Density
This paper investigates the asymptotic properties of a simple empirical-likelihood-based inference method for discontinuity in density. The parameter of interest is a function of two one-sided limits of the probability density function at (possibly) two cut-off points. Our approach is based on the first order conditions from a minimum contrast problem. We investigate both first order and second order properties of the proposed method. We characterize the leading coverage error of our inference method and propose a coverage-error-optimal (CE-optimal, hereafter) bandwidth selector. We show that the empirical likelihood ratio statistic is Bartlett correctable. An important special case is the manipulation testing problem in a regression discontinuity design (RDD), where the parameter of interest is the density difference at a known threshold. In RDD, the continuity of the density of the assignment variable at the threshold is considered as a “no-manipulation” behavioral assumption, which is a testable implication of an identifying condition for the local average treatment effect. When specialized to the manipulation testing problem, the CE-optimal bandwidth selector has an explicit form. We propose a data-driven CE-optimal bandwidth selector for use in practice. Results from Monte Carlo simulations are presented. Usefulness of our method is illustrated by an empirical example
Year of publication: |
2018
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Authors: | Ma, Jun |
Other Persons: | Jales, Hugo (contributor) ; Yu, Zhengfei (contributor) |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | Statistische Verteilung | Statistical distribution | Induktive Statistik | Statistical inference | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics |
Saved in:
Extent: | 1 Online-Ressource (88 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 24, 2018 erstellt |
Other identifiers: | 10.2139/ssrn.3219959 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012914060
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