This paper presents a novel data-driven bandwidth selector compatible with the small bandwidth asymptotics developed in Cattaneo, Crump, and Jansson (2009) for density-weighted average derivatives. The new bandwidth selector is of the plug-in variety, and is obtained based on a mean squared error expansion of the estimator of interest. An extensive Monte Carlo experiment shows a remarkable improvement in performance when the bandwidth-dependent robust inference procedures proposed by Cattaneo, Crump, and Jansson (2009) are coupled with this new data-driven bandwidth selector. The resulting robust data-driven confidence intervals compare favorably to the alternative procedures available in the literature. The online supplemental material to this paper contains further results from the simulation study.
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Averaged derivative
- Bandwidth selection
- Robust inference
- Small bandwidth asymptotics