Optimal bandwidth selection for local linear estimation of discontinuity in density

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 simultaneou...

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Veröffentlicht in:	Economics letters 2017-04, Vol.153, p.23-27
Hauptverfasser:	Jales, Hugo, Ma, Jun, Yu, Zhengfei
Format:	Artikel
Sprache:	eng
Schlagworte:	Bandwidth selection Bandwidths Density discontinuity Estimating techniques Local linear estimation Probability Selection Studies
Online-Zugang:	Volltext
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