Monotonicity-constrained nonparametric estimation and inference for first-price auctions
Vadim Marmer (),
Artyom Shneyerov and
Econometric Reviews, 2021, vol. 40, issue 10, 944-982
In the independent private values framework for first-price auctions, we propose a new nonparametric estimator of the probability density of latent valuations 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 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.
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Working Paper: Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:40:y:2021:i:10:p:944-982
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