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A Locally Linear Estimation of Regression Discontinuity

Author

Listed:
  • Chunrong Ai

    (School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai 200433, China; Department of Economics, University of Florida, Gainesville, FL 32611, USA)

  • Meixia Meng

    (School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai 200433, China)

Abstract

In this paper, we propose a locally linear estimation of a regression discontinuity model. The proposed estimator is applicable to evaluation of the effectiveness of the program treatment, and it improves upon the existing literature by providing not just the treatment effect at discontinuity but also insight of the treatment effect on those near discontinuity. Under some familiar conditions, we establish the consistency and asymptotic normality of the proposed estimator. We also provide an easy to compute consistent covariance matrix.

Suggested Citation

  • Chunrong Ai & Meixia Meng, 2011. "A Locally Linear Estimation of Regression Discontinuity," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, vol. 6(4), pages 495-506, December.
    • Handle: RePEc:fec:journl:v:6:y:2011:i:4:p:495-506
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    File URL: http://journal.hep.com.cn/fec/EN/10.1007/s11459-011-0144-2
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    Citations

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    Cited by:

    1. Ai, Chunrong & Li, Hongjun & Lin, Zhongjian & Meng, Meixia, 2015. "Estimation of panel data partly specified Tobit regression with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 316-326.

    More about this item

    Keywords

    Regression discontinuity; treatment effect; local linear; consistency; asymptotic normality;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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