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.