Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions
Econometrics
2025-03-10 v1 Methodology
Abstract
We propose a new nonparametric estimator for first-price auctions with independent private values that imposes the monotonicity constraint on the estimated inverse bidding strategy. We show that our estimator has a smaller asymptotic variance than that of Guerre, Perrigne and Vuong's (2000) estimator. In addition to establishing pointwise asymptotic normality of our estimator, we provide a bootstrap-based approach to constructing uniform confidence bands for the density function of latent valuations.
Cite
@article{arxiv.1909.12974,
title = {Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions},
author = {Jun Ma and Vadim Marmer and Artyom Shneyerov and Pai Xu},
journal= {arXiv preprint arXiv:1909.12974},
year = {2025}
}