*! version 2.0.0 15apr2020
help rdcont

Title

rdcont - Approximate sign test for testing continuity of a density at a point

Syntax

rdcont running_var [if] [in],
[options]

Options
alpha(real) specifies critical value for calculation of optimal bandwidth

threshold(real) specifies cutoff value for the test

qobs(real) specifies # of observations closest to cutoff

Description

In the regression discontinuity design it is common practice to assess the credibility of the design by testing the continuity of the density of the running variable at the cut-off. rdcont tests this assumption using the non-randomized approximate sign test developed in Bugni and Canay (2020).

Options

Options

alpha(real) specifies a critical value for the calculation of the data dependent rule of thumb for q proposed in Bugni and Canay (2020), referred to in the paper as q_irot (informed rule of thumb). If left unspecified, the default value is 0.05. Cannot be specified with qobs.

threshold(real) specifies the cutoff value (point) at which to test continuity of the density. If left unspecified, the default value is 0.

qband(real) specifies the number q of observations used by the test (those that are closest to the cutoff) rather than using the data dependent rule from Bugni and Canay (2019). Cannot be specified with alpha.

Saved Results

rdcont saves the following in r():

Scalars

r(q_p) Preliminary rule of thumb before optimization stage

r(lb) Running variable value corresponding to the left bound of the test bandwidth

r(ub) Running variable value corresponding to the right bound of the test bandwidth

r(N_r) Number of observations to the right of the threshold

r(N_l) Number of observations to the left of the threshold

r(c) Running variable threshold

r(q_l) Number of observations in the bandwidth to the left of the threshold

r(q_r) Number of observations in the bandwidth to the right of the threshold

r(q) Number of observations in the bandwidth

r(N) Number of observations

r(p) p-value corresponding to the approximate sign test

Author

Ivan Canay

iacanay@northwestern.edu

References

Bugni, Federico A. and Ivan A. Canay. (2020) "Testing Continuity of a Density via g-order
statistics in the Regression Discontinuity Design."