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

DOI10.1016/J.JECONOM.2019.02.006zbMATH Open1452.62947arXiv1903.06401OpenAlexW3125244804WikidataQ128138884 ScholiaQ128138884MaRDI QIDQ2000875FDOQ2000875

Yanyan Li

Publication date: 1 July 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

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, Perrigne, and Vuong (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.

Full work available at URL: https://arxiv.org/abs/1903.06401

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zbMATH Keywords

bootstrapasymptotic normalityGaussian approximationindependent private valuesfirst-price auctionsuniform confidence bandstwo-step nonparametric estimators

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to economics (62P20) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cited In (5)

• Estimation and inference of seller's expected revenue in first-price auctions
• Monotonicity-constrained nonparametric estimation and inference for first-price auctions
• Quantile-based nonparametric inference for first-price auctions
• Quantile regression methods for first-price auctions
• Inference on individual treatment effects in nonseparable triangular models

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