Semiparametric Estimation of First-Price Auction Models

Gaurab Aryal (), Maria Gabrielli and Quang Vuong

Papers from arXiv.org

Abstract: We propose a semiparametric method to estimate the density of private values in first-price auctions. Specifically, we model private values through a set of conditional moment restrictions and use a two-step procedure. In the first step we recover a sample of pseudo private values using Local Polynomial Estimator. In the second step we use a GMM procedure to estimate the parameter(s) of interest. We show that the proposed semiparametric estimator is consistent, has an asymptotic normal distribution, and attains the parametric ("root-n") rate of convergence.

Date: 2014-07, Revised 2015-06
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Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Semiparametric Estimation of First-Price Auction Models (2014)
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