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Regression Discontinuity Designs

Paper Session

Sunday, Jan. 5, 2020 10:15 AM - 12:15 PM (PDT)

Marriott Marquis, Marina Ballroom F
Hosted By: Econometric Society
  • Chair: Sebastian Calonico, University of Miami

Regression Discontinuity Designs with a Continuous Treatment

Yingying Dong
,
University of California-Irvine
Ying-Ying Lee
,
University of California-Irvine

Abstract

Many empirical applications of regression discontinuity (RD) designs involve a continuous treatment. This paper establishes identification and bias-corrected robust inference for such RD designs. Causal identification is achieved by utilizing any changes in the distribution of the continuous treatment at the RD threshold (including the usual mean change as a special case). Applying the proposed approach, we estimate the impacts of capital holdings on bank failure in the pre-Great Depression era. Our RD design takes advantage of the minimum capital requirements which change discontinuously with town size. We find that increased capital has no impacts on banks' long-run failure rates.

Local Regression Distribution Estimators

Matias Cattaneo
,
Princeton University
Michael Jansson
,
University of California-Berkeley
Xinwei Ma
,
UC San Diego

Abstract

This paper investigates the large sample properties of local regression distribution estimators, which include a class of boundary adaptive density estimators as a prime example. First, we establish a pointwise Gaussian large sample distributional approximation in a unified way, allowing for both boundary and interior evaluation points simultaneously. Using this result, we study the asymptotic efficiency of the estimators, and show that a carefully crafted minimum distance implementation based on "redundant" regressors can lead to efficiency gains. Second, we establish uniform linearizations and strong approximations for the estimators, and employ these results to construct valid confidence bands. Third, we develop extensions to weighted distributions with estimated weights, and to more general L_2 least squares estimation. Finally, we illustrate our methods with two applications in program evaluation: counterfactual density testing, and IV specification and heterogeneity density analysis. Companion software packages in Stata and R are provided.

Quantile Treatment Effects in Regression Kink Designs

Heng Chen
,
Bank of Canada
Harold Chiang
,
Vanderbilt University
Yuya Sasaki
,
Vanderbilt University

Abstract

The literature on regression kink designs develops identification results for average effects of continuous treatments (Card, Lee, Pei, and Weber, 2015), average effects of binary treatments (Dong, 2018), and quantile-wise effects of continuous treatments (Chiang and Sasaki, 2019), but there has been no identification result for quantile-wise effects of binary treatments to date. In this paper, we fill this void in the literature by providing an identification of quantile treatment effects in regression kink designs with binary treatment variables. For completeness, we also develop large sample theories for statistical inference and a practical guideline on estimation and inference.

Testing Identifying Assumptions in Fuzzy Regression Discontinuity Designs

Yoichi Arai
,
Waseda University
Yu-Chin Hsu
,
Academia Sinica
Toru Kitagawa
,
University College London
Ismael Mourifie
,
University of Toronto
Yuanyuan Wan
,
University of Toronto

Abstract

We propose a new specification test for assessing the validity of fuzzy regression discontinuity designs (FRD-validity). We derive a new set of testable implications, characterized by a set of inequality restrictions on the joint distribution of observed outcomes and treatment status at the cut-off. We show that this new characterization exploits all the information in the data useful for detecting violations of FRD-validity. Our approach differs from, and complements existing approaches that test continuity of the distributions of running variables and baseline covariates at the cut-off since ours focuses on the distribution of the observed outcome and treatment status. We show that the proposed test has appealing statistical properties. It controls size in large sample uniformly over a large class of distributions, is consistent against all fixed alternatives, and has non-trivial power against some local alternatives. We apply our test to evaluate the validity of two FRD designs. The test does not reject the FRD-validity in the class size design studied by Angrist and Lavy (1999) and rejects in the insurance subsidy design for poor households in Colombia studied by Miller, Pinto, and Vera-Hernández (2013) for some outcome variables, while existing density tests suggest the opposite in each of the cases.

Optimal Bandwidth Choice for Robust Bias Corrected Inference in Regression Discontinuity Designs

Sebastian Calonico
,
University of Miami
Matias Cattaneo
,
Princeton University
Max Farrell
,
University of Chicago

Abstract

Modern empirical work in Regression Discontinuity (RD) designs employs local polynomial estimation and inference with a mean square error (MSE) optimal bandwidth choice. This bandwidth yields an MSE-optimal RD treatment effect estimator, but is by construction invalid for inference. Robust bias corrected (RBC) inference methods are valid when using the MSE-optimal bandwidth, but we show they yield suboptimal confidence intervals in terms of coverage error. We establish valid coverage error expansions for RBC confidence interval estimators and use these results to propose new inference-optimal bandwidth choices for forming these intervals. We find that the standard MSE-optimal bandwidth for the RD point estimator must be shrank when the goal is to construct RBC confidence intervals with the smaller coverage error rate. We further optimize the constant terms behind the coverage error to derive new optimal choices for the auxiliary bandwidth required for RBC inference. Our expansions also establish that RBC inference yields higher-order refinements (relative to traditional undersmoothing) in the context of RD designs. Our main results cover sharp and sharp kink RD designs under conditional heteroskedasticity, and we discuss extensions to fuzzy and other RD designs, clustered sampling, and pre-intervention covariates adjustments. The theoretical findings are illustrated with a Monte Carlo experiment and an empirical application, and the main methodological results are available in R and Stata packages.
JEL Classifications
  • C1 - Econometric and Statistical Methods and Methodology: General
  • C2 - Single Equation Models; Single Variables