Optimal bandwidth selection for the fuzzy regression discontinuity estimator

- A new bandwidth selection rule for the FRD estimator based on the LLR is proposed.
- The method chooses two bandwidths, one for each side of the cut-off point.
- The method yields convergence rate improvement over currently popular methods.
- The theoretical advantage is shown to realize in our simulation study.

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 term. A simulation study demonstrates the usefulness of the proposed method.