qdfauction
Nonparametric estimators of the quantile density function (the derivative of the quantile function): kernel, boundary-corrected kernel, Poisson-weight and Bernstein-polynomial smoothers, indirect estimators (Jones (1992) <https://www.ism.ac.jp/editsec/aism/pdf/044_4_0721.pdf>; Soni, Dewan and Jain (2012) <doi:10.1016/j.csda.2012.04.014>; Chaubey, Dewan and Li (2024) <doi:10.1080/03610926.2023.2222922>), and linear, hard-thresholded and block-thresholded wavelet estimators (Chesneau, Dewan and Doosti (2016) <doi:10.1016/j.csda.2015.08.006>; Shirazi and Doosti (2022) <doi:10.1080/03610918.2019.1656250>), with smoothing parameters chosen by biased, robust likelihood (Wu (2019) <doi:10.1080/07350015.2018.1424633>) or least-squares cross-validation. The estimators are applied to the structural analysis of first-price sealed-bid auctions: recovery of private values for independent or affiliated values and risk-neutral or risk-averse bidders (Doosti, Dewan and Talebian (2025) <doi:10.1016/j.econlet.2025.112670>; Doosti (2026) <doi:10.1016/j.econlet.2026.112837>), estimation of the private-value density with kernel benchmarks (Hickman and Hubbard (2015) <doi:10.1002/jae.2385>; Marmer and Shneyerov (2012) <doi:10.1016/j.jeconom.2011.09.020>; Zincenko (2024) <doi:10.1016/j.jeconom.2024.105734>) and confidence bands (Ma, Marmer and Shneyerov (2019) <doi:10.1016/j.jeconom.2019.02.006>), and estimation of the seller's expected revenue and optimal reserve price, with tools for simulating equilibrium bids and comparing estimators.
- A copula-quantile density approach to affiliated private value auctions
- Estimation and inference of seller's expected revenue in first-price auctions
- Inference for first-price auctions with Guerre, Perrigne, and Vuong's estimator
- Nonparametric estimation of a quantile density function by wavelet methods
- Nonparametric estimation of a quantile density function under Lp risk via block thresholding method
- Nonparametric estimation of private value distributions in first-price auctions: evaluating quantile density function approaches
- Nonparametric estimation of quantile density function
- On some non parametric estimators of the quantile density function for a stationary associated process
- Quantile-based nonparametric inference for first-price auctions
- Replacing Sample Trimming with Boundary Correction in Nonparametric Estimation of First‐Price Auctions
- Robust Likelihood Cross-Validation for Kernel Density Estimation
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