Abstract
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.
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Frölich, M. Matching estimators and optimal bandwidth choice. Stat Comput 15, 197–215 (2005). https://doi.org/10.1007/s11222-005-1309-6
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DOI: https://doi.org/10.1007/s11222-005-1309-6