Related papers: Monotonicity-Constrained Nonparametric Estimation …
We consider inference on the probability density of valuations in the first-price sealed-bid auctions model within the independent private value paradigm. We show the asymptotic normality of the two-step nonparametric estimator of Guerre,…
We consider nonparametric identification of independent private value first-price auction models, in which the analyst only observes winning bids. Our benchmark model assumes an exogenous number of bidders $N$. We show that, if the bidders…
We provide efficient estimation methods for first- and second-price auctions under independent (asymmetric) private values and partial observability. Given a finite set of observations, each comprising the identity of the winner and the…
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 bidder's ex ante expected surplus, and the…
We propose a semiparametric method to estimate the density of private values in first-price auctions. Specifically, we model private values through a set of conditional moment restrictions and use a two-step procedure. In the first step we…
In a classical model of the first-price sealed-bid auction with independent private values, we develop nonparametric estimators for several policy-relevant targets, such as the bidder's surplus and auctioneer's revenue under counterfactual…
The paper proposes a parsimonious and flexible semiparametric quantile regression specification for asymmetric bidders within the independent private value framework. Asymmetry is parameterized using powers of a parent private value…
We study the identification and estimation of first-price auction models where bidders have ambiguity about the valuation distribution and their preferences are represented by maxmin expected utility. When entry is exogenous, the…
We establish nonparametric identification of auction models with continuous and nonseparable unobserved heterogeneity using three consecutive order statistics of bids. We then propose sieve maximum likelihood estimators for the joint…
The ill-posedness of the inverse problem of recovering a regression function in a nonparametric instrumental variable model leads to estimators that may suffer from a very slow, logarithmic rate of convergence. In this paper, we show that…
We construct prior-free auctions with constant-factor approximation guarantees with ordered bidders, in both unlimited and limited supply settings. We compare the expected revenue of our auctions on a bid vector to the monotone price…
The paper proposes a quantile-regression inference framework for first-price auctions with symmetric risk-neutral bidders under the independent private-value paradigm. It is first shown that a private-value quantile regression generates a…
Cluster-based randomized experiments are popular designs for mitigating the bias of standard estimators when interference is present and classical causal inference and experimental design assumptions (such as SUTVA or ITR) do not hold.…
We propose a new framework for imposing monotonicity constraints in a Bayesian nonparametric setting based on numerical solutions of stochastic differential equations. We derive a nonparametric model of monotonic functions that allows for…
In the standard single-dimensional model of position auctions, bidders agree on the relative values of the positions and each of them submits a single bid that is interpreted in terms of these values. Motivated by current practice in…
This paper introduces a version of the interdependent value model of Milgrom and Weber (1982), where the signals are given by an index gathering signal shifters observed by the econometrician and private ones specific to each bidders. The…
This paper studies inference in first-price and second-price sealed-bid auctions with many bidders, using an asymptotic framework where the number of bidders increases while the number of auctions remains fixed. Our approach enables…
We consider the problem of estimating the probability matrix governing a tournament or linkage in graphs from incomplete observations, under the assumption that the probability matrix satisfies natural monotonicity constraints after being…
In this paper, we study how a budget-constrained bidder should learn to bid adaptively in repeated first-price auctions to maximize cumulative payoff. This problem arises from the recent industry-wide shift from second-price auctions to…
In this paper, we investigate the problem of nonparametric monotone frontier estimation from the perspective of extreme value theory. This enables us to revisit the asymptotic theory of the popular free disposal hull estimator in a more…