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850期 12月28日 :Minimum Contrast Empirical Likelihood Manipulation Testing for Regression Discontinuity Design(马骏 讲师, 中国人民大学经济学院)

【主讲】马骏 讲师 (中国人民大学经济学院)

【主题】Minimum Contrast Empirical Likelihood Manipulation Testing for Regression Discontinuity Design

【时间】2017年12月28日 (周四) 15:30-17:00

【地点】上海财经大学经济学院楼701室

【语言】英文

【摘要】This paper investigates the asymptotic properties of a simple empirical-likelihood-based inference method for discontinuity in density. In a regression discontinuity design (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 treatment effect (LATE). Our approach is based on the first-order conditions obtained from a minimum contrast (MC) problem and complements Otsu et al. (2013)’s method. Our inference procedure has three main advantages. Firstly, it requires only one tuning parameter; secondly, it does not require concentrating out any nuisance parameter and therefore is very easily implementable; thirdly, its delicate second-order properties lead to a simple coverage-error-optimal bandwidth selection rule. We propose a data-driven CE-optimal bandwidth selector for use in practice. Lastly, we also provide a uniform-in-bandwidth result and show that bandwidth snooping could be applied to accommodate the practice that practitioners usually implement the test at multiple bandwidths for sensitivity checking. Results from Monte Carlo simulations are presented. Usefulness of our method is illustrated by empirical examples.

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