Monotonicity-constrained nonparametric estimation and inference for first-price auctions

Jun Ma, Vadim Marmer (), Artyom Shneyerov and Pai Xu

Econometric Reviews, 2021, vol. 40, issue 10, 944-982

Abstract: 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.

Date: 2021
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Working Paper: Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions (2019)
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DOI: 10.1080/07474938.2021.1889198

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