Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions

• Tác giả: Jun Ma, Vadim Marmer, Artyom Shneyerov, Pai Xu
• Ngôn ngữ: eng
• Ký hiệu phân loại: 018.3 +Catalogs arranged by author, main entry, date, or register number
• Thông tin xuất bản: 2019
• Bộ sưu tập: Metadata
• ID: 163420

Tóm tắt

We propose a new nonparametric estimator for first-price auctions with independent private values that imposes the monotonicity constraint on the estimated inverse bidding strategy. We show that our estimator has a smaller asymptotic variance than that of Guerre, Perrigne and Vuong's (2000) estimator. In addition to establishing pointwise asymptotic normality of our estimator, we provide a bootstrap-based approach to constructing uniform confidence bands for the density function of latent valuations.