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Empirical implementation of nonparametric first-price auction models

Listed author(s):
  • Henderson, Daniel J.
  • List, John A.
  • Millimet, Daniel L.
  • Parmeter, Christopher F.
  • Price, Michael K.

Nonparametric 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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File URL: http://www.sciencedirect.com/science/article/pii/S0304407611001710
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 168 (2012)
Issue (Month): 1 ()
Pages: 17-28

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Handle: RePEc:eee:econom:v:168:y:2012:i:1:p:17-28
DOI: 10.1016/j.jeconom.2011.09.008
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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