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Matching estimators and optimal bandwidth choice

Frölich, Markus

In: Statistics and Computing, 2005, vol. 15, no. 3, p. 197-215

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    Titre
    • Matching estimators and optimal bandwidth choice
    Auteur
    • Frölich, Markus. University College London and University of St. Gallen, Bodanstrasse 8, CH-9000, St. Gallen, Switzerland
    Type de document
    • Postprint
    Langue
    • Anglais
    Publié dans
    • Statistics and Computing, 2005, vol. 15, no. 3, p. 197-215. Kluwer Academic Publishers
    Autre version électronique
    Identifiant OAI-PMH
    • oai:doc.rero.ch:316647
    Summary
    Optimal bandwidth choice for matching estimators and their finite sample properties are examined. An approximation to their MSE is derived, as a basis for a plug-in bandwidth selector. In small samples, this approximation is not very accurate, though. Alternatively, conventional cross-validation bandwidth selection is considered and performs rather well in simulation studies: Compared to standard pair-matching, kernel and ridge matching achieve reductions in MSE of about 25 to 40%. Local linear matching and weighting perform poorly. Furthermore, the scope for developing better bandwidth selectors seems to be limited for ridge matching, but non-negligible for kernel and local linear matching