Economics at your fingertips  

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
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions (2019) Downloads
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:

Ordering information: This journal article can be ordered from

DOI: 10.1080/07474938.2021.1889198

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().

Page updated 2022-03-27
Handle: RePEc:taf:emetrv:v:40:y:2021:i:10:p:944-982