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 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)
Date: 2016-03-04, Revised 2019-01-19
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Forthcoming in Journal of Econometrics
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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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