Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions
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arXiv
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| Hauptverfasser: | , , , |
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| Format: | Preprint |
| Veröffentlicht: |
2019
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| _version_ | 1866913722608386048 |
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| author | Ma, Jun Marmer, Vadim Shneyerov, Artyom Xu, Pai |
| author_facet | Ma, Jun Marmer, Vadim Shneyerov, Artyom Xu, Pai |
| contents | We propose a new nonparametric estimator for first-price auctions with independent private values that imposes the monotonicity constraint on the estimated inverse bidding strategy. We show that our estimator has a smaller asymptotic variance than that of Guerre, Perrigne and Vuong's (2000) estimator. In addition to establishing pointwise asymptotic normality of our estimator, we provide a bootstrap-based approach to constructing uniform confidence bands for the density function of latent valuations. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1909_12974 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions Ma, Jun Marmer, Vadim Shneyerov, Artyom Xu, Pai Econometrics Methodology We propose a new nonparametric estimator for first-price auctions with independent private values that imposes the monotonicity constraint on the estimated inverse bidding strategy. We show that our estimator has a smaller asymptotic variance than that of Guerre, Perrigne and Vuong's (2000) estimator. In addition to establishing pointwise asymptotic normality of our estimator, we provide a bootstrap-based approach to constructing uniform confidence bands for the density function of latent valuations. |
| title | Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions |
| topic | Econometrics Methodology |
| url | https://arxiv.org/abs/1909.12974 |