Imposing Monotonicity Nonparametrically in First-Price Auctions

Daniel J. Henderson (), John List (), Daniel L. Millimet (), Christopher F. Parmeter and Michael K. Price ()

MPRA Paper from University Library of Munich, Germany

Abstract: Monotonicity of the equilibrium bidding strategy is a key property of structural auction models. Traditional nonparametric estimators provide a flexible means of uncovering salient features of auction data, but do not formally impose the monotonicity assumption that is inherent in the models during estimation. Here, we develop a nonparametric estimator which imposes the monotonicity assumption. We accomplish this by employing the constraint weighted bootstrapping theory developed in the statistics literature. The finite sample performance of our estimator is examined using simulated data, experimental data, as well as a naturally occurring data set composed of thousands of bids from Canadian timber auctions.

Keywords: Constrained Weighted Bootstrap; Bandwidth; Equilibrium Bidding Strategy (search for similar items in EconPapers)
JEL-codes: C14 C12 D44 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-exp, nep-gth and nep-ore
Date: 2008-04-14
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:8769

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