Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions

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

Papers from arXiv.org

Abstract: We propose a new nonparametric estimator for first-price auctions with independent private values 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 (2000) 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 of latent valuations.

Date: 2019-09
New Economics Papers: this item is included in nep-des and nep-ecm
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Citations: View citations in EconPapers (1)

Published in Econometric Reviews, 40(10), 2021, 944-982

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Journal Article: Monotonicity-constrained nonparametric estimation and inference for first-price auctions (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1909.12974

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