为什么高阶多项式不应在断点回归设计中使用

Why High-Order Polynomials Should Not Be Used in Regression Discontinuity Designs

Journal of Business & Economic Statistics · 2017
被引 1286 · 同刊同年前 2%
人大 AABS 4

中文导读

指出在断点回归分析中使用三阶及以上全局多项式会导致估计噪声大、对多项式阶数敏感和置信区间覆盖差,建议改用局部线性或二次多项式估计。

Abstract

It is common in regression discontinuity analysis to control for third, fourth, or higher-degree polynomials of the forcing variable. There appears to be a perception that such methods are theoretically justified, even though they can lead to evidently nonsensical results. We argue that controlling for global high-order polynomials in regression discontinuity analysis is a flawed approach with three major problems: it leads to noisy estimates, sensitivity to the degree of the polynomial, and poor coverage of confidence intervals. We recommend researchers instead use estimators based on local linear or quadratic polynomials or other smooth functions.

回归断点设计高阶多项式局部线性回归估计偏差