Inference for first-price auctions with Guerre, Perrigne, and Vuong’s estimator

@article{Ma2019InferenceFF,
  title={Inference for first-price auctions with Guerre, Perrigne, and Vuong’s estimator},
  author={Jun Ma and Vadim Marmer and Artyom Shneyerov},
  journal={Journal of Econometrics},
  year={2019}
}
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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…
Quantile-based nonparametric inference for 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
Integrated-Quantile-Based Estimation for First-Price Auction Models
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…
Semiparametric Estimation in Models of First-Price, Sealed-Bid Auctions with Affiliation
Structural Estimation of the Affliated Private Value Auction Model
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,…
Semiparametric Estimation of the Optimal Reserve Price in First-Price Auctions
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…
Identification of first-price auctions with non-separable unobserved heterogeneity
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