Imposing Monotonicity Nonparametrically in First-Price Auctions
AbstractMonotonicity of the equilibrium bidding strategy is a key property of structural auction models. Traditional nonparametric estimators provide a flexible means of uncovering salient features of auction data, but do not formally impose the monotonicity assumption that is inherent in the models during estimation. Here, we develop a nonparametric estimator which imposes the monotonicity assumption. We accomplish this by employing the constraint weighted bootstrapping theory developed in the statistics literature. The finite sample performance of our estimator is examined using simulated data, experimental data, as well as a naturally occurring data set composed of thousands of bids from Canadian timber auctions.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 8769.
Date of creation: 14 Apr 2008
Date of revision:
Constrained Weighted Bootstrap; Bandwidth; Equilibrium Bidding Strategy;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-05-24 (All new papers)
- NEP-ECM-2008-05-24 (Econometrics)
- NEP-EXP-2008-05-24 (Experimental Economics)
- NEP-GTH-2008-05-24 (Game Theory)
- NEP-ORE-2008-05-24 (Operations Research)
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