[Limdep Nlogit List] PSM estimation defaults

William Greene wgreene at stern.nyu.edu
Sat Sep 12 08:35:13 EST 2009

There are three candidates for deciding who is a nearby observation,
'nearest neighbor,' 'kernel,' or 'range' (caliper). But, all of the
treated observations are used. There is no "trimming" built into the
program. You are right about the bandwidth for the kernel approach;
the default is .06.  If you (the user) supply a value between .001
and .250 using ;Smooth=value, then that value is used instead.
Bill Greene

----- Original Message -----
From: "Jill Caviglia-Harris" <jlcaviglia-harris at salisbury.edu>
To: limdep at limdep.itls.usyd.edu.au
Cc: "Erin Sills" <erin_sills at ncsu.edu>
Sent: Friday, September 11, 2009 2:36:52 PM GMT -05:00 Columbia
Subject: [Limdep Nlogit List] PSM estimation defaults

LimDep Users Group:
I recently posted a question about the kernel PSM methodology used in
LimDep but have not received a response, perhaps with further detail
this can be addressed….  My question is about the default setting in
LimDep.  It’s my understanding that there are many different variations
on kernel, including different ways to set bandwidth and to "trim"
treated observations that are off-support  (Frolich 2004; Calienddo and
Kopeinig 2005).  Based on recent estimation results it appears that
LimDep does trim the results – in other words does not use every one of
the treated observations in estimating the ATT.  I assume the default
was no trimming would be done – but this appears to be a false
assumption.  The LimDep manual states that the default is a bandwidth of
0.06 (E32-3; E32-20) but no information is provided on trimming.  Anyone
have insight on this?
Thanks.  -Jill
Jill Caviglia-Harris
Associate Professor
Economics and Finance Department
Salisbury University
Salisbury, MD 21801
(410) 548-5591
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