Optimal Nonparametric Estimation of First-price Auctions

DOI10.1111/1468-0262.00123zbMath1056.62512OpenAlexW2120416704MaRDI QIDQ4530972

Quang H. Vuong, Emmanuel Guerre, Isabelle Perrigne

Publication date: 28 May 2002

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1468-0262.00123

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Microeconomic theory (price theory and economic markets) (91B24)

Related Items

Identification and estimation in sequential, asymmetric, English auctions ⋮ Semiparametric identification and estimation in multi-object, English auctions ⋮ Non-parametric estimation of sequential English auctions ⋮ Partial identification and testable restrictions in multi-unit auctions ⋮ Estimating a tournament model of intra-firm wage differentials ⋮ Optimal bidding in auctions from a game theory perspective ⋮ Nonparametric estimation of first-price auctions with risk-averse bidders ⋮ Nonparametric estimation of first price auctions via density-quantile function ⋮ The econometrics of unobservables: applications of measurement error models in empirical industrial organization and labor economics ⋮ Identification of first-price auctions with non-equilibrium beliefs: a measurement error approach ⋮ Regular type distributions in mechanism design and \(\rho\)-concavity ⋮ NONPARAMETRIC WEIGHTED AVERAGE QUANTILE DERIVATIVE ⋮ Identification and estimation of discriminatory auctions when bidders have private values and singleton demand ⋮ A STUDY OF PARTICIPATION IN DYNAMIC AUCTIONS ⋮ Asymptotically optimal prior-free clock auctions ⋮ Unobserved heterogeneity in auctions under restricted stochastic dominance ⋮ A shape constrained estimator of bidding function of first-price sealed-bid auctions ⋮ Rationalization and identification of binary games with correlated types ⋮ Revealed preference analysis of expected utility maximization under prize-probability trade-offs ⋮ How accurately do structural asymmetric first-price auction estimates represent true valuations? ⋮ Pseudo maximum likelihood estimation of structural models involving fixed-point problems ⋮ Nonparametric estimation of asymmetric first price auctions: a simplified approach ⋮ Structural estimation of switching costs for peaking power plants ⋮ Flexible Bayesian analysis of first price auctions using a simulated likelihood ⋮ UNIFORM BIAS STUDY AND BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATORS OF THE CONDITIONAL QUANTILE FUNCTION ⋮ ESTIMATES OF DERIVATIVES OF (LOG) DENSITIES AND RELATED OBJECTS ⋮ Bandwidth selection for kernel density estimation of fat-tailed and skewed distributions ⋮ Unobserved correlation in private-value ascending auctions ⋮ Estimating derivatives of function-valued parameters in a class of moment condition models ⋮ ESTIMATION OF (STATIC OR DYNAMIC) GAMES UNDER EQUILIBRIUM MULTIPLICITY ⋮ Secret reserve prices by uninformed sellers ⋮ Robust inference in first-price auctions: overbidding as an identifying restriction ⋮ A functional estimation approach to the first-price auction models ⋮ Inference on individual treatment effects in nonseparable triangular models ⋮ Identification of a rational inattention discrete choice model ⋮ Identification of auction models using order statistics ⋮ Yet another look at the omitted variable bias ⋮ Quantile analysis of ``hazard-rate game models ⋮ IDENTIFICATION AND ESTIMATION IN A THIRD-PRICE AUCTION MODEL ⋮ Estimation of treatment effects under endogenous heteroskedasticity ⋮ First-price sealed-bid auctions when bidders exhibit different attitudes toward risk ⋮ On the identification of the procurement model ⋮ Are there common values in first-price auctions? A tail-index nonparametric test ⋮ Identification of first-price auctions with non-separable unobserved heterogeneity ⋮ What model for entry in first-price auctions? A nonparametric approach ⋮ The empirical content of Cournot competition ⋮ Editors' introduction ⋮ Piecewise pseudo-maximum likelihood estimation for risk aversion case in first-price sealed-bid auction ⋮ Causal discourse in a game of incomplete information ⋮ Nonparametric tests for strictly increasing virtual valuations ⋮ Value-rationalizability in auction bidding ⋮ LOCAL IDENTIFICATION IN EMPIRICAL GAMES OF INCOMPLETE INFORMATION ⋮ Nonparametric identification of an interdependent value model with buyer covariates from first-price auction bids ⋮ NONPARAMETRIC ESTIMATION OF REGRESSION FUNCTIONS WITH DISCRETE REGRESSORS ⋮ Sequential auctions with ambiguity ⋮ Estimation of Heterogeneous Individual Treatment Effects With Endogenous Treatments ⋮ Auctions ⋮ Nonparametric estimation of utility function in first-price sealed-bid auctions ⋮ Fast adaptive estimation of log-additive exponential models in Kullback-Leibler divergence ⋮ Empirical relevance of ambiguity in first-price auctions ⋮ Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation ⋮ Empirical implementation of nonparametric first-price auction models ⋮ Bayesian estimation approaches to first-price auctions ⋮ Risk aversion and asymmetry in procurement auctions: identification, estimation and application to construction procurements ⋮ Semi-nonparametric estimation of independently and identically repeated first-price auctions via an integrated simulated moments method ⋮ On the properties of equilibria in private value divisible good auctions with constrained bidding ⋮ Indirect inference in structural econometric models ⋮ Inference for first-price auctions with Guerre, Perrigne, and Vuong's estimator ⋮ Approximately optimal bidding policies for repeated first-price auctions ⋮ Identification in first-price and Dutch auctions when the number of potential bidders is unobservable ⋮ The set of equilibria of first-price auctions ⋮ Multi-dimensional reference-dependent preferences in sealed-bid auctions -- how (most) laboratory experiments differ from the field ⋮ Uniform confidence bands in deconvolution with unknown error distribution ⋮ Estimating first-price auctions with an unknown number of bidders: a misclassification approach ⋮ A consistent nonparametric test of affiliation in auction models ⋮ The econometrics of auctions with asymmetric anonymous bidders ⋮ Quantile-based nonparametric inference for first-price auctions ⋮ Semiparametric estimation of dynamic discrete choice models ⋮ Bidding frictions in ascending auctions ⋮ Data-driven estimation in equilibrium using inverse optimization ⋮ AUCTION–LOTTERY HYBRID MECHANISMS: STRUCTURAL MODEL AND EMPIRICAL ANALYSIS ⋮ Nonparametric identification and estimation of score auctions in multi-attribute procurement ⋮ Quantile regression methods for first-price auctions ⋮ Testing for risk aversion in first-price sealed-bid auctions ⋮ Estimating unobserved individual heterogeneity using pairwise comparisons ⋮ Response prediction for low-regret agents ⋮ Characterization of bidding behavior in multi-unit auctions ⋮ Conditionally independent private information in OCS wildcat auctions ⋮ Monotonicity-constrained nonparametric estimation and inference for first-price auctions ⋮ Learning in Repeated Auctions ⋮ Nonparametric Estimation of Large Auctions with Risk Averse Bidders ⋮ Structural Econometric Methods in Auctions: A Guide to the Literature ⋮ Econometrics of first-price auctions with entry and binding reservation prices