Matching Estimators and Optimal Bandwidth Choice

Type
discussion paper
Date Issued
2004-01-01
Author(s)
Froelich, Markus
Abstract
Discussion paper#### Optimal bandwidth choice for matching estimators and their finite sample properties are examined. An approximation to their MSE is derived, as a basis for a plug-in bandwidth selector. In small samples, this approximation is not very accurate, though. Alternatively, conventional cross-validation bandwidth selection is considered and performs rather well. Compared to standard pair-matching, kernel and ridge matching achieve reductions in MSE of about 25 to 40%. Local linear matching and weighting perform poorly. Furthermore, the scope for developing better bandwidth selectors seems to be limited for ridge matching, but non-negligible for kernel and local linear matching. Download Discussion Paper: (pdf, 610 kb) Download Appendix: (pdf, 1652 kb) former title: Covariate adjustment and optimal bandwidth choice
Funding(s)
Language
English
HSG Classification
contribution to scientific community
Refereed
No
URL
Subject(s)

other research area

Division(s)

SIAW - Swiss Institut...

Eprints ID
15570
File(s)
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Fr%C3%B6lich_revised.pdf

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609.18 KB

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Supplementary%20Appendix.pdf

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