Empirical implementation of nonparametric first-price auction models

Daniel Henderson (), John List, Daniel Millimet, Christopher Parmeter and Michael Price

Journal of Econometrics, 2012, vol. 168, issue 1, 17-28

Abstract: Nonparametric estimators provide a flexible means of uncovering salient features of auction data. Although these estimators are popular in the literature, many key features necessary for proper implementation have yet to be uncovered. Here we provide several suggestions for nonparametric estimation of first-price auction models. Specifically, we show how to impose monotonicity of the equilibrium bidding strategy; a key property of structural auction models not guaranteed in standard nonparametric estimation. We further develop methods for automatic bandwidth selection. Finally, we discuss how to impose monotonicity in auctions with differing numbers of bidders, reserve prices, and auction-specific characteristics. Finite sample performance is examined using simulated data as well as experimental auction data.

Keywords: Automatic bandwidth selection; Bandwidth; Constraint weighted bootstrap; Equilibrium bidding strategy; Optimal reserve price (search for similar items in EconPapers)
JEL-codes: C12 C14 D44 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (20)

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Related works:
Working Paper: Empirical Implementation of Nonparametric First-Price Auction Models (2011)
Working Paper: Empirical Implementation of Nonparametric First-Price Auction Models (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:168:y:2012:i:1:p:17-28

DOI: 10.1016/j.jeconom.2011.09.008

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