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Monotonicity-constrained nonparametric estimation and inference for first-price auctions
- Economics, MathematicsEconometric Reviews
- 2021
Abstract In the independent private values framework for first-price auctions, we propose a new nonparametric estimator of the probability density of latent valuations that imposes the monotonicity…
Simple nonparametric inference for first-price auctions via bid spacings
- Mathematics, Economics
- 2021
In a classic model of the first-price auction, we propose a nonparametric estimator of the quantile function of bidders’ valuations, based on weighted bid spacings. We derive the Bahadur-Kiefer…
Simple Inference in First-Price Auctions
- Economics
- 2018
In this paper, we propose a new estimator for the distribution of valuations in first-price auctions with independent private valuations which applies in parametric and nonparametric settings. A…
Estimation of Auction Models with Shape Restrictions
- Economics, Mathematics
- 2019
We introduce several new estimation methods that leverage shape constraints in auction models to estimate various objects of interest, including the distribution of a bidder's valuations, the…
Kernel Estimation for Panel Data with Heterogeneous Dynamics
- Mathematics
- 2018
This paper proposes nonparametric kernel-smoothing estimation for panel data to examine the degree of heterogeneity across cross-sectional units. We first estimate the sample mean, autocovariances,…
Kernel estimation for panel data with heterogeneous dynamics
- MathematicsThe Econometrics Journal
- 2019
This paper proposes nonparametric kernel-smoothing estimation for panel data to examine the degree of heterogeneity across cross-sectional units. We first estimate the sample mean, autocovariances,…
Inference on Individual Treatment Effects in Nonseparable Triangular Models
- Mathematics
- 2021
In nonseparable triangular models with a binary endogenous treatment and a binary instrumental variable, Vuong and Xu (2017) show that the individual treatment effects (ITEs) are identifiable. Feng,…
References
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We propose a quantile-based nonparametric approach to inference on the probability density function (PDF) of the private values in first-price sealed-bid auctions with independent private values. Our…
Optimal Nonparametric Estimation of First-price Auctions
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This paper proposes a general approach and a computationally convenient estimation procedure for the structural analysis of auctioni data. Considering first-price sealed-bid auction models within the…
Nonparametric estimation of first-price auctions with risk-averse bidders
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This article considers nonparametric estimation of first-price auction models under the monotonicity restriction on the bidding strategy. Based on an integrated-quantile representation of the…
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We consider the structural estimation of the affiliated private value (APV) model in first-price sealed-bid auctions. The model allows for bidders' individual efficiencies and opportunity costs,…
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The optimal reserve price in the independent private value paradigm is generally expressed as a functional of the latent distribution of private signals, which is by nature unobserved. This feature…
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This paper contains supplemental materials for Marmer and Shneyerov (2010). We discuss here how the approach developed in the aforementioned paper can be applied to conducting inference on the…
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