A Simple Adjustment for Bandwidth Snooping

Authors

Timothy B. Armstrong
Michal Kolesár

Document Type

Discussion Paper

Publication Date

12-1-2014

CFDP Number

1961

CFDP Pages

59

Abstract

Kernel-based estimators are often evaluated at multiple bandwidths as a form of sensitivity analysis. However, if in the reported results, a researcher selects the bandwidth based on this analysis, the associated confidence intervals may not have correct coverage, even if the estimator is unbiased. This paper proposes a simple adjustment that gives correct coverage in such situations: replace the Normal quantile with a critical value that depends only on the kernel and ratio of the maximum and minimum bandwidths the researcher has entertained. We tabulate these critical values and quantify the loss in coverage for conventional confidence intervals. For a range of relevant cases, a conventional 95% confidence interval has coverage between 70% and 90%, and our adjustment amounts to replacing the conventional critical value 1.96 with a number between 2.2 and 2.8. A Monte Carlo study confirms that our approach gives accurate coverage in finite samples. We illustrate our approach with two empirical applications.

Comments

Supplement Materials, 47 pp

Recommended Citation

Armstrong, Timothy B. and Kolesár, Michal, "A Simple Adjustment for Bandwidth Snooping" (2014). Cowles Foundation Discussion Papers. 2372.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/2372