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- Publisher Website: 10.1080/07474938.2021.1889198
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Article: Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions
Title | Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions |
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Authors | |
Keywords | Asymptotic normality bootstrap firstprice auctions monotonicity nonparametric estimation |
Issue Date | 2021 |
Publisher | Taylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/07474938.asp |
Citation | Econometric Reviews, 2021, v. 40 n. 10, p. 944-982 How to Cite? |
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 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 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. |
Persistent Identifier | http://hdl.handle.net/10722/302102 |
ISSN | 2023 Impact Factor: 0.8 2023 SCImago Journal Rankings: 1.051 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Ma, J | - |
dc.contributor.author | Marmer, V | - |
dc.contributor.author | Shneyerov, A | - |
dc.contributor.author | Xu, P | - |
dc.date.accessioned | 2021-08-21T03:31:36Z | - |
dc.date.available | 2021-08-21T03:31:36Z | - |
dc.date.issued | 2021 | - |
dc.identifier.citation | Econometric Reviews, 2021, v. 40 n. 10, p. 944-982 | - |
dc.identifier.issn | 0747-4938 | - |
dc.identifier.uri | http://hdl.handle.net/10722/302102 | - |
dc.description.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 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 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. | - |
dc.language | eng | - |
dc.publisher | Taylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/07474938.asp | - |
dc.relation.ispartof | Econometric Reviews | - |
dc.rights | This is an Accepted Manuscript of an article published by Taylor & Francis in [JOURNAL TITLE] on [date of publication], available online: http://www.tandfonline.com/[Article DOI]. | - |
dc.subject | Asymptotic normality | - |
dc.subject | bootstrap | - |
dc.subject | firstprice auctions | - |
dc.subject | monotonicity | - |
dc.subject | nonparametric estimation | - |
dc.title | Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions | - |
dc.type | Article | - |
dc.identifier.email | Xu, P: paixu@hku.hk | - |
dc.identifier.authority | Xu, P=rp01120 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1080/07474938.2021.1889198 | - |
dc.identifier.scopus | eid_2-s2.0-85111996647 | - |
dc.identifier.hkuros | 324385 | - |
dc.identifier.volume | 40 | - |
dc.identifier.issue | 10 | - |
dc.identifier.spage | 944 | - |
dc.identifier.epage | 982 | - |
dc.identifier.isi | WOS:000681601500002 | - |
dc.publisher.place | United States | - |