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2018 Fiscal Year Annual Research Report

A study of estimation and inference of the density discontinuity

Research Project

Project/Area Number 17K13713
Research InstitutionUniversity of Tsukuba

Principal Investigator

YU ZHENGFEI  筑波大学, 人文社会系, 助教 (40774758)

Project Period (FY) 2017-04-01 – 2019-03-31
KeywordsDensity discontinuity / Manipulation test / Empirical likelihood / Regression discontinuity
Outline of Annual Research Achievements

FY2017's research provides a mean square error optimal bandwidth selector for the parameter which is a function of densities at both sides of a threshold (for example, the density ratio). It allows bandwidths to differ at both sides. FY2018's research provides an optimal bandwidth selector that minimizes the coverage error for testing a function of densities at both sides of a threshold. It covers the manipulation test for regression discontinuity designs as a special case. The testing approach is based on empirical likelihood whose moment conditions come from a minimum contrast problem. The two year's researches together address the bandwidth selection problem for estimation and inference of density discontinuity, which can be applied to the validity check of regression discontinuity designs and to estimate agent's response to a policy change.
Simulation studies confirm that the the proposed optimal bandwidths yield smaller mean square errors for the estimation problem, better size and power properties for the testing problem than existing methods. Empirical examples illustrate their usefulness in real data sets. The research results have been presented at various conferences. The preliminary result is published in Economic letters. A paper containing the main results is accepted by Journal of Business & Economics Statistics. The computer codes for the proposed testing approach will also be available online.

Remarks

This paper is accepted by Journal of Business & Economics Statistics.

  • Research Products

    (6 results)

All 2019 2018 Other

All Int'l Joint Research (2 results) Journal Article (1 results) (of which Int'l Joint Research: 1 results,  Peer Reviewed: 1 results) Presentation (2 results) (of which Invited: 1 results) Remarks (1 results)

  • [Int'l Joint Research] Renmin University(中国)

    • Country Name
      CHINA
    • Counterpart Institution
      Renmin University
  • [Int'l Joint Research] Syracuse University(米国)

    • Country Name
      U.S.A.
    • Counterpart Institution
      Syracuse University
  • [Journal Article] Minimum Contrast Empirical Likelihood Inference of Discontinuity in Density2019

    • Author(s)
      Ma Jun、Jales Hugo、Yu Zhengfei
    • Journal Title

      Journal of Business & Economics Statistics

      Volume: Accepted Pages: -

    • Peer Reviewed / Int'l Joint Research
  • [Presentation] Simple Semiparametric Estimation of Ordered Response Models2018

    • Author(s)
      Zhengfei Yu
    • Organizer
      Workshop on Advances in Econometrics
  • [Presentation] Simple Semiparametric Estimation of Ordered Response Models2018

    • Author(s)
      Zhengfei Yu
    • Organizer
      Institute of Economics, Academia Sinica
    • Invited
  • [Remarks] Research paper in SSRN´s eLibrary

    • URL

      https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3219959

URL: 

Published: 2019-12-27  

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