A new bandwidth selection rule that uses different bandwidths for the local linear regression estimators on the left and the right of the cut-off point is proposed for the sharp regression discontinuity estimator of the mean program impact at the cut-off point. The asymptotic mean squared error...

A new bandwidth selection method for the fuzzy regression discontinuity estimator is proposed. The method chooses two bandwidths simultaneously, one for each side of the cut-off point by using a criterion based on the estimated asymptotic mean square error taking into account a second-order bias...

We consider the problem of choosing two bandwidths simultaneously for estimating the difference of two functions at given points. When the asymptotic approximation of the mean squared error (AMSE) criterion is used, we show that minimisation problem is not well-defined when the sign of the...

Over the last four decades, several methods for selecting the smoothing parameter, generally called the bandwidth, have been introduced in kernel regression. They differ quite a bit, and although there already exist more selection methods than for any other regression smoother we can still see...

Cross-validation is the most common data-driven procedure for choosing smoothing parameters in nonparametric regression. For the case of kernel estimators with iid or strong mixing data, it is well-known that the bandwidth chosen by crossvalidation is optimal with respect to the average squared...

In this paper a modified double smoothing bandwidth selector, MDS, based on a new criterion, which combines the plug-in and the double smoothing ideas, is proposed. A self-complete iterative double smoothing rule (_IDS ) is introduced as a pilot method. The asymptotic properties of both_IDS...

This paper summarizes recent developments in non- and semiparametric regression with stationary fractional time series errors, where the error process may be short-range, long-range dependent or antipersistent. The trend function in this model is estimated nonparametrically, while the dependence...