Bandwidth selection for statistical matching and prediction

Abstract

AbstractWhile there exist many bandwidth selectors for estimation, bandwidth selection for statistical matching and prediction has hardly been studied so far. We introduce a computationally attractive selector for nonparametric out-of-sample prediction problems like data matching, impact evaluation, scenario simulations or imputing missings. Even though the method is bootstrap based, we can derive closed expressions for the criterion function which avoids the need of Monte Carlo approximations. We study both, asymptotic and finite sample performance. The derived consistency, convergence rate and extensive simulation studies show the successful operation of the selector. The method is illustrated by applying it to real data for studying the gender wage gap in Spain. Specifically, the salary of Spanish women is predicted nonparametrically by the wage equation estimated for men while conditioned on their own (i.e., women’s) characteristics. An important discrepancy between observed and predicted wages is found, exhibiting a serious gender wage gap.