Robust Data-Driven Inference for Density-Weighted Average Derivatives

This paper presents a new data-driven bandwidth selector compatible with the small bandwidth asymptotics developed in Cattaneo, Crump, and Jansson (2009) for density-weighted average derivatives. The new bandwidth selector is of the plug-in variety, and is obtained based on a mean squared error expansion of the estimator of interest. An extensive Monte Carlo experiment shows a remarkable improvement in performance when the bandwidth-dependent robust inference procedure proposed by Cattaneo, Crump, and Jansson (2009) is coupled with this new data-driven bandwidth selector. The resulting robust data-driven confidence intervals compare favorably to the alternative procedures available in the literature