Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael - School of Economics and Management, University of Aarhus - 2009
This paper presents a new data-driven bandwidth selector compatible with the small bandwidth asymptotics developed in Cattaneo, Crump, and Jansson (2009) for density-weighted average derivatives. The new bandwidth selector is of the plug-in variety, and is obtained based on a mean squared error...
