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Inference for First-Price Auctions with Guerre, Perrigne, and Vuong's estimator

Listed author(s):
  • Ma, Jun
  • Marmer, Vadim
  • Shneyerov, Artyom

Abstract In this paper, we focus on inference on the probability density function (PDF) of the valuations in the first-price sealed-bid auction models within the independent private value paradigm in the presence of auction-specific heterogeneity. 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 of the two-step estimator. In addition, we prove the validity of the percentile bootstrap inference with the GPV estimator.

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File URL: http://microeconomics.ca/vadim_marmer/inference_gpv_04.pdf
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Paper provided by Vancouver School of Economics in its series Microeconomics.ca working papers with number vadim_marmer-2016-4.

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Length: 61 pages
Date of creation: 04 Mar 2016
Date of revision: 04 Mar 2016
Handle: RePEc:ubc:pmicro:vadim_marmer-2016-4
Contact details of provider: Web page: http://www.economics.ubc.ca/

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  17. Brent R. Hickman & Timothy P. Hubbard, 2015. "Replacing Sample Trimming with Boundary Correction in Nonparametric Estimation of First‐Price Auctions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(5), pages 739-762, 08.
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