EconPapers    
Economics at your fingertips  
 

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)
Date: 2016-03-04, Revised 2019-01-19
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Forthcoming in Journal of Econometrics

Downloads: (external link)
https://microeconomics.ca/archive/vadim_marmer/inference_gpv_04.pdf (application/pdf)

Related works:
Journal Article: Inference for first-price auctions with Guerre, Perrigne, and Vuong’s estimator (2019) Downloads
Working Paper: Inference for First-Price Auctions with Guerre, Perrigne, and Vuong's Estimator (2019) 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:ubc:pmicro:vadim_marmer-2016-4

Access Statistics for this paper

More papers in Microeconomics.ca working papers from Vancouver School of Economics
Bibliographic data for series maintained by Maureen Chin ().

 
Page updated 2019-11-14
Handle: RePEc:ubc:pmicro:vadim_marmer-2016-4