Quantile-based nonparametric inference for first-price auctions

Vadim Marmer () and Artyom Shneyerov

Journal of Econometrics, 2012, vol. 167, issue 2, 345-357

Abstract: We propose a quantile-based nonparametric approach to inference on the probability density function (PDF) of the private values in first-price sealed-bid auctions with independent private values. Our method of inference is based on a fully nonparametric kernel-based estimator of the quantiles and PDF of observable bids. Our estimator attains the optimal rate of Guerre et al. (2000), and is also asymptotically normal with an appropriate choice of the bandwidth.

Keywords: First-price auctions; Independent private values; Nonparametric estimation; Kernel estimation; Quantiles; Optimal reserve price (search for similar items in EconPapers)
JEL-codes: C14 D44 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (26)

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Related works:
Working Paper: Quantile-Based Nonparametric Inference for First-Price Auctions (2013)
Working Paper: Quantile-Based Nonparametric Inference for First-Price Auctions (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:167:y:2012:i:2:p:345-357

DOI: 10.1016/j.jeconom.2011.09.020

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