Inference for first-price auctions with Guerre, Perrigne, and Vuong’s estimator

Jun Ma, Vadim Marmer () and Artyom Shneyerov

Journal of Econometrics, 2019, vol. 211, issue 2, 507-538

Abstract: We consider inference on the probability density of valuations in the first-price sealed-bid auctions model within the independent private value paradigm. We show the asymptotic normality of the two-step nonparametric estimator of Guerre et al. (2000) (GPV), and propose an easily implementable and consistent estimator of the asymptotic variance. We prove the validity of the pointwise percentile bootstrap confidence intervals based on the GPV estimator. Lastly, we use the intermediate Gaussian approximation approach to construct bootstrap-based asymptotically valid uniform confidence bands for the density of the valuations.

Keywords: Asymptotic normality; Bootstrap; First-price auctions; Gaussian approximation; Independent private values; Two-step nonparametric estimators; Uniform confidence bands (search for similar items in EconPapers)
JEL-codes: C14 C57 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407619300478
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Inference for First-Price Auctions with Guerre, Perrigne, and Vuong's Estimator (2019)
Working Paper: Inference for First-Price Auctions with Guerre, Perrigne, and Vuong's estimator (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:211:y:2019:i:2:p:507-538

DOI: 10.1016/j.jeconom.2019.02.006

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().