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Integrated-quantile-based estimation for first price auction models

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Listed:
  • Yao Luo
  • Yuanyuan Wan

Abstract

This paper considers nonparametric estimation of first-price auction models under the monotonicity restriction on the bidding strategy. Based on an integrated-quantile representation of the first-order condition, we propose a tuning-parameter-free estimator for the valuation quantile function. We establish its cube-root-n consistency and asymptotic distribution under weaker smoothness assumptions than those typically assumed in the empirical literature. If the latter are true, we also provide a trimming-free smoothed estimator and show that it is asymptotically normal and achieves the optimal rate of Guerre, Perrigne, and Vuong (2000). We illustrate our methods using Monte Carlo simulations and an empirical study of the California highway procurements auctions.

Suggested Citation

  • Yao Luo & Yuanyuan Wan, 2015. "Integrated-quantile-based estimation for first price auction models," Working Papers tecipa-539, University of Toronto, Department of Economics.
  • Handle: RePEc:tor:tecipa:tecipa-539
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    File URL: https://www.economics.utoronto.ca/public/workingPapers/tecipa-539.pdf
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    References listed on IDEAS

    as
    1. Nianqing Liu & Yao Luo, 2014. "A Nonparametric Test of Exogenous Participation in First-Price Auctions," Working Papers tecipa-519, University of Toronto, Department of Economics.
    2. Marmer, Vadim & Shneyerov, Artyom, 2012. "Quantile-based nonparametric inference for first-price auctions," Journal of Econometrics, Elsevier, vol. 167(2), pages 345-357.
    3. Henderson, Daniel J. & List, John A. & Millimet, Daniel L. & Parmeter, Christopher F. & Price, Michael K., 2012. "Empirical implementation of nonparametric first-price auction models," Journal of Econometrics, Elsevier, vol. 168(1), pages 17-28.
    4. Brent R. Hickman & Timothy P. Hubbard, 2015. "Replacing Sample Trimming with Boundary Correction in Nonparametric Estimation of Firstā€Price Auctions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(5), pages 739-762, August.
    5. Matthew Shum, 2000. "Nonparametric Tests for Common Values," Econometric Society World Congress 2000 Contributed Papers 1598, Econometric Society.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    First Price Auctions; Monotone Bidding Strategy; Nonparametric Estimation; Tuning-Parameter-Free;

    JEL classification:

    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • 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

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