Empirical implementation of nonparametric first-price auction models
AbstractNonparametric 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 nonparametric 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 differing numbers of bidders, reserve prices, and auction-specific characteristics. Finite sample performance is examined using simulated data as well as experimental auction data.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 168 (2012)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/jeconom
Automatic bandwidth selection; Bandwidth; Constraint weighted bootstrap; Equilibrium bidding strategy; Optimal reserve price;
Other versions of this item:
- Daniel J. Henderson & John A. List & Daniel L. Millimet & Christopher F. Parmeter & Michael K. Price, 2011. "Empirical Implementation of Nonparametric First-Price Auction Models," NBER Working Papers 17095, National Bureau of Economic Research, Inc.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
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