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Inference for First-Price Auctions with Guerre, Perrigne, and Vuong's estimator

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  • Ma, Jun
  • Marmer, Vadim
  • Shneyerov, Artyom
Abstract
In this paper, we focus on inference on the probability density function (PDF) of the valuations in the first-price sealed-bid auction models within the independent private value paradigm in the presence of auction-specific heterogeneity. We show the asymptotic normality of the two-step nonparametric estimator of Guerre et al. (2000, GPV), and propose an easily implementable and consistent estimator of the asymptotic variance of the two-step estimator. In addition, we prove the validity of the percentile bootstrap inference with the GPV estimator.

Suggested Citation

  • Ma, Jun & Marmer, Vadim & Shneyerov, Artyom, 2016. "Inference for First-Price Auctions with Guerre, Perrigne, and Vuong's estimator," Microeconomics.ca working papers vadim_marmer-2016-4, Vancouver School of Economics, revised 19 Jan 2019.
    • Handle: RePEc:ubc:pmicro:vadim_marmer-2016-4
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    Cited by:

    1. Pasha Andreyanov & Grigory Franguridi, 2021. "Nonparametric inference on counterfactuals in first-price auctions," Papers 2106.13856, arXiv.org, revised Oct 2024.
    2. Ma, Jun & Marmer, Vadim & Yu, Zhengfei, 2023. "Inference on individual treatment effects in nonseparable triangular models," Journal of Econometrics, Elsevier, vol. 235(2), pages 2096-2124.
    3. Joris Pinkse & Karl Schurter, 2019. "Estimation of Auction Models with Shape Restrictions," Papers 1912.07466, arXiv.org.
    4. Gimenes, Nathalie & Guerre, Emmanuel, 2022. "Quantile regression methods for first-price auctions," Journal of Econometrics, Elsevier, vol. 226(2), pages 224-247.
    5. Zincenko, Federico, 2024. "Estimation and inference of seller’s expected revenue in first-price auctions," Journal of Econometrics, Elsevier, vol. 241(1).

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    More about this item

    Keywords

    Asymptotic Normality; First-Price Auctions; Independent Private Values; Two-Step Nonparametric Inference;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C57 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Econometrics of Games and Auctions

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