EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1909.12974 Latest version (application/pdf)

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

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2022-03-27
Handle: RePEc:arx:papers:1909.12974