Inference for First-Price Auctions with Guerre, Perrigne, and Vuong's estimator

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

Microeconomics.ca working papers from Vancouver School of Economics

Abstract: Abstract In this paper, we focus on inference on the probability density function (PDF) of the valuations in the first-price sealed-bid auction models within the independent private value paradigm in the presence of auction-specific heterogeneity. We show the asymptotic normality of the two-step nonparametric estimator of Guerre et al. (2000, GPV), and propose an easily implementable and consistent estimator of the asymptotic variance of the two-step estimator. In addition, we prove the validity of the percentile bootstrap inference with the GPV estimator.

Keywords: Asymptotic Normality; First-Price Auctions; Independent Private Values; Two-Step Nonparametric Inference (search for similar items in EconPapers)
JEL-codes: C14 C57 (search for similar items in EconPapers)
Pages: 61 pages
Date: 2016-03-04, Revised 2019-01-19
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Citations: View citations in EconPapers (5)

Forthcoming in Journal of Econometrics

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Related works:
Journal Article: Inference for first-price auctions with Guerre, Perrigne, and Vuong’s estimator (2019)
Working Paper: Inference for First-Price Auctions with Guerre, Perrigne, and Vuong's Estimator (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:ubc:pmicro:vadim_marmer-2016-4

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