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Inference for first-price auctions with Guerre, Perrigne, and Vuong’s estimator

Author

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  • Ma, Jun
  • Marmer, Vadim
  • Shneyerov, Artyom

Abstract

We consider inference on the probability density of valuations in the first-price sealed-bid auctions model within the independent private value paradigm. 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. We prove the validity of the pointwise percentile bootstrap confidence intervals based on the GPV estimator. Lastly, we use the intermediate Gaussian approximation approach to construct bootstrap-based asymptotically valid uniform confidence bands for the density of the valuations.

Suggested Citation

  • Ma, Jun & Marmer, Vadim & Shneyerov, Artyom, 2019. "Inference for first-price auctions with Guerre, Perrigne, and Vuong’s estimator," Journal of Econometrics, Elsevier, vol. 211(2), pages 507-538.
  • Handle: RePEc:eee:econom:v:211:y:2019:i:2:p:507-538
    DOI: 10.1016/j.jeconom.2019.02.006
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Asymptotic normality; Bootstrap; First-price auctions; Gaussian approximation; Independent private values; Two-step nonparametric estimators; Uniform confidence bands;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C57 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Econometrics of Games and Auctions

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