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Simple Local Polynomial Density Estimators

Author(s): Cattaneo, Matias D; Jansson, M; Ma, X

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Abstract: © 2019, © 2019 American Statistical Association. This article introduces an intuitive and easy-to-implement nonparametric density estimator based on local polynomial techniques. The estimator is fully boundary adaptive and automatic, but does not require prebinning or any other transformation of the data. We study the main asymptotic properties of the estimator, and use these results to provide principled estimation, inference, and bandwidth selection methods. As a substantive application of our results, we develop a novel discontinuity in density testing procedure, an important problem in regression discontinuity designs and other program evaluation settings. An illustrative empirical application is given. Two companion Stata and R software packages are provided.
Publication Date: 1-Jan-2019
Citation: Cattaneo, MD, Jansson, M, Ma, X. (2019). Simple Local Polynomial Density Estimators. Journal of the American Statistical Association, 10.1080/01621459.2019.1635480
DOI: doi:10.1080/01621459.2019.1635480
ISSN: 0162-1459
EISSN: 1537-274X
Type of Material: Journal Article
Journal/Proceeding Title: Journal of the American Statistical Association
Version: Author's manuscript

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