Semiparametric Estimation of First-Price Auction Models

Gaurab Aryal (), Maria Gabrielli and Quang Vuong

MPRA Paper from University Library of Munich, Germany

Abstract: We propose a semiparametric estimator within the class of indirect methods. Specifically, we model private valuations through a set of conditional moment restrictions. Our econometric model calls for a two step procedure. In the first step we recover a sample of pseudo private values while using a Local Polynomial Estimator. In the second step we use a GMM procedure to obtain an estimate for the parameter of interest. The proposed semiparametric estimator is shown to have desirable statistical properties namely, it is consistent and has an asymptotic normal distribution. Moreover, the estimator attains the parametric rate of convergence.

Keywords: Auctions; Structural Approach; Semiparametric Estimator; Local Polynomial; GMM. (search for similar items in EconPapers)
JEL-codes: C14 C72 D44 (search for similar items in EconPapers)
Date: 2014-07-12
New Economics Papers: this item is included in nep-ecm and nep-gth
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https://mpra.ub.uni-muenchen.de/57340/1/MPRA_paper_57340.pdf original version (application/pdf)

Related works:
Working Paper: Semiparametric Estimation of First-Price Auction Models (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:57340

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