On Robust Empirical Likelihood for Nonparametric Regression with Application to Regression Discontinuity Designs

Empirical likelihood serves as a powerful tool for constructing confidence intervals in nonparametric regression and regression discontinuity designs (RDD). The original empirical likelihood framework can be naturally extended to these settings using local linear smoothers, with Wilks' theorem holding only when an undersmoothed bandwidth is selected. However, the generalization of bias-corrected versions of empirical likelihood under more realistic conditions is non-trivial and has remained an open challenge in the literature. This paper provides a satisfactory solution by proposing a novel approach, referred to as robust empirical likelihood, designed for nonparametric regression and RDD. The core idea is to construct robust weights which simultaneously achieve bias correction and account for the additional variability introduced by the estimated bias, thereby enabling valid confidence interval construction without extra estimation steps involved. We demonstrate that the Wilks' phenomenon still holds under weaker conditions in nonparametric regression, sharp and fuzzy RDD settings. Extensive simulation studies confirm the effectiveness of our proposed approach, showing superior performance over existing methods in terms of coverage probabilities and interval lengths. Moreover, the proposed procedure exhibits robustness to bandwidth selection, making it a flexible and reliable tool for empirical analyses. The practical usefulness is further illustrated through applications to two real datasets.

Publication Details

Journal
ArXiv.org
Published
2025-04-02
Primary Topic
Statistical Methods and Inference
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article
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article

On Robust Empirical Likelihood for Nonparametric Regression with Application to Regression Discontinuity Designs

ArXiv.org
Statistical Methods and Inference
article

On Robust Empirical Likelihood for Nonparametric Regression with Application to Regression Discontinuity Designs

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Abstract

Empirical likelihood serves as a powerful tool for constructing confidence intervals in nonparametric regression and regression discontinuity designs (RDD). The original empirical likelihood framework can be naturally extended to these settings using local linear smoothers, with Wilks' theorem holding only when an undersmoothed bandwidth is selected. However, the generalization of bias-corrected versions of empirical likelihood under more realistic conditions is non-trivial and has remained an open challenge in the literature. This paper provides a satisfactory solution by proposing a novel approach, referred to as robust empirical likelihood, designed for nonparametric regression and RDD. The core idea is to construct robust weights which simultaneously achieve bias correction and account for the additional variability introduced by the estimated bias, thereby enabling valid confidence interval construction without extra estimation steps involved. We demonstrate that the Wilks' phenomenon still holds under weaker conditions in nonparametric regression, sharp and fuzzy RDD settings. Extensive simulation studies confirm the effectiveness of our proposed approach, showing superior performance over existing methods in terms of coverage probabilities and interval lengths. Moreover, the proposed procedure exhibits robustness to bandwidth selection, making it a flexible and reliable tool for empirical analyses. The practical usefulness is further illustrated through applications to two real datasets.

ArXiv.org
Openalex Percentile: Top 45%
Statistical Methods and Inference
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