Empirical implementation of nonparametric first-price auction models

Daniel J. Henderson, John A. List, Daniel L. Millimet, Christopher Parmeter, Michael K. Price

Research output: Contribution to journalArticle

14 Citations (Scopus)

Abstract

Nonparametric estimators provide a flexible means of uncovering salient features of auction data. Although these estimators are popular in the literature, many key features necessary for proper implementation have yet to be uncovered. Here we provide several suggestions for nonparametric estimation of first-price auction models. Specifically, we show how to impose monotonicity of the equilibrium bidding strategy; a key property of structural auction models not guaranteed in standard nonparametric estimation. We further develop methods for automatic bandwidth selection. Finally, we discuss how to impose monotonicity in auctions with differing numbers of bidders, reserve prices, and auction-specific characteristics. Finite sample performance is examined using simulated data as well as experimental auction data.

Original languageEnglish (US)
Pages (from-to)17-28
Number of pages12
JournalJournal of Econometrics
Volume168
Issue number1
DOIs
StatePublished - May 1 2012

Fingerprint

Auctions
First-price auction
Nonparametric estimation
Estimator
Monotonicity
Reserve price
Bidding strategy
Finite sample
Experimental auctions
Bandwidth

Keywords

  • Automatic bandwidth selection
  • Bandwidth
  • Constraint weighted bootstrap
  • Equilibrium bidding strategy
  • Optimal reserve price

ASJC Scopus subject areas

  • Economics and Econometrics

Cite this

Empirical implementation of nonparametric first-price auction models. / Henderson, Daniel J.; List, John A.; Millimet, Daniel L.; Parmeter, Christopher; Price, Michael K.

In: Journal of Econometrics, Vol. 168, No. 1, 01.05.2012, p. 17-28.

Research output: Contribution to journalArticle

Henderson, Daniel J. ; List, John A. ; Millimet, Daniel L. ; Parmeter, Christopher ; Price, Michael K. / Empirical implementation of nonparametric first-price auction models. In: Journal of Econometrics. 2012 ; Vol. 168, No. 1. pp. 17-28.
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