Search Results - subject:"Bandwidth Selection"

Simultaneous selection of optimal bandwidths for the sharp regression discontinuity estimator

Arai, Yoichi; Ichimura, Hidehiko - 2015

A new bandwidth selection rule that uses different bandwidths for the local linear regression estimators on the left … at the cut-off point. The asymptotic mean squared error of the estimator using the proposed bandwidth selection rule is … shown to be smaller than other bandwidth selection rules proposed in the literature. An extensive simulation study shows …

Persistent link: https://www.econbiz.de/10011445747

Optimal bandwidth selection for the fuzzy regression discontinuity estimator

Arai, Yoichi; Ichimura, Hidehiko - 2015

A new bandwidth selection method for the fuzzy regression discontinuity estimator is proposed. The method chooses two …

Persistent link: https://www.econbiz.de/10011445759

Plug-in bandwidth selection for kernel density estimation with discrete data

Chu, Chi-Yang; Henderson, Daniel J.; Parmeter, … - In: Econometrics 3 (2015) 2, pp. 199-214

This paper proposes plug-in bandwidth selection for kernel density estimation with discrete data via minimization of …

Persistent link: https://www.econbiz.de/10011755277

Plug-in Bandwidth Selection for Kernel Density Estimation with Discrete Data

Chu, Chi-Yang; Henderson, Daniel J.; Parmeter, … - In: Econometrics 3 (2015) 2, pp. 199-214

This paper proposes plug-in bandwidth selection for kernel density estimation with discrete data via minimization of …

Persistent link: https://www.econbiz.de/10011220361

An iterative plug-in algorithm for realized kernels

Feng, Yuanhua; Zhou, Chen - Department Volkswirtschaftslehre, Fachbereich für … - 2015

Realized kernels introduced by Barndorff-Nielsen et al. (2008) are consistent estimators of the daily integrated volatility in the presence of microstructure noise. A crucial problem by applying realized kernels is the selection of the bandwidth. This paper proposes an iterative plug-in...

Persistent link: https://www.econbiz.de/10011122525