Quantile-based nonparametric inference for first-price auctions

DOI10.1016/j.jeconom.2011.09.020zbMath1441.62810OpenAlexW3022446837MaRDI QIDQ738160

Vadim Marmer, Artyom A. Shneyerov

Publication date: 15 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.09.020

zbMATH Keywords

kernel estimationquantilesnonparametric estimationfirst-price auctionsindependent private valuesoptimal reserve price

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (14)

Identification of participation constraints in contracts ⋮ Nonparametric estimation of first-price auctions with risk-averse bidders ⋮ NONPARAMETRIC WEIGHTED AVERAGE QUANTILE DERIVATIVE ⋮ A shape constrained estimator of bidding function of first-price sealed-bid auctions ⋮ Estimating derivatives of function-valued parameters in a class of moment condition models ⋮ A functional estimation approach to the first-price auction models ⋮ Quantile analysis of ``hazard-rate game models ⋮ IDENTIFICATION AND ESTIMATION IN A THIRD-PRICE AUCTION MODEL ⋮ What model for entry in first-price auctions? A nonparametric approach ⋮ Inference for first-price auctions with Guerre, Perrigne, and Vuong's estimator ⋮ Quantile-based nonparametric inference for first-price auctions ⋮ Quantile regression methods for first-price auctions ⋮ Testing for risk aversion in first-price sealed-bid auctions ⋮ Monotonicity-constrained nonparametric estimation and inference for first-price auctions

Cites Work

• Quantile-based nonparametric inference for first-price auctions
• Strong limit theorems for maximal spacings from a general univariate distribution
• Bootstrap, wild bootstrap, and asymptotic normality
• Deriving an estimate of the optimal reserve price: An application to British Columbian timber sales
• The jackknife and bootstrap
• Identification and Estimation of Auction Models with Unobserved Heterogeneity
• A Lower Bound on the Risks of Non-Parametric Estimates of Densities in the Uniform Metric
• Asymptotic Statistics
• Optimal Nonparametric Estimation of First-price Auctions
• Nonparametric Identification of Risk Aversion in First-Price Auctions Under Exclusion Restrictions
• Testing Statistical Hypotheses
• Nonparametric Estimation of Nonadditive Random Functions
• Convergence of stochastic processes

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