Empirical Implementation of Nonparametric First-Price Auction Models

Daniel Henderson (), John List, Daniel Millimet, Christopher Parmeter and Michael Price

No 17095, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Nonparametric estimators provide a flexible means of uncovering salient features of auction data. Although these estimators are popular in the literature, many key features necessary for proper implementation have yet to be uncovered. Here we provide several suggestions for nonparamteric estimation of first-price auction models. Specifically, we show how to impose monotonicity of the equilibrium bidding strategy; a key property of structural auction models not guaranteed in standard nonparametric estimation. We further develop methods for automatic bandwidth selection. Finally, we discuss how to impose monotonicity in auctions with differering number of bidders, reserve prices, and auction-specific characteristics. Finite sample performance is examined using simulated data as well as experimental auction data.

JEL-codes: C12 C14 D44 (search for similar items in EconPapers)
Date: 2011-05
New Economics Papers: this item is included in nep-ecm
Note: EEE IO
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Published as Henderson, Daniel J. & List, John A. & Millimet, Daniel L. & Parmeter, Christopher F. & Price, Michael K., 2012. "Empirical implementation of nonparametric first-price auction models," Journal of Econometrics, Elsevier, vol. 168(1), pages 17-28.

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Related works:
Journal Article: Empirical implementation of nonparametric first-price auction models (2012)
Working Paper: Empirical Implementation of Nonparametric First-Price Auction Models (2011)
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