Jun Ma, Vadim Marmer, Artyom Shneyerov
arXiv 15 Mar 2019 · Econometrics · publishedJournal of Econometrics (2019) · 11 citations (OpenAlex)
arXiv:1903.06401 · PDF · DOI · OpenAlex · Extracted main text
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, Perrigne, and Vuong (2000) (GPV), and propose an easily implementable and consistent estimator of the asymptotic variance. We prove the validity of the pointwise percentile bootstrap confidence intervals based on the GPV estimator. Lastly, we use the intermediate Gaussian approximation approach to construct bootstrap-based asymptotically valid uniform confidence bands for the density of the valuations.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Chernozhukov, V., Chetverikov, D., Kato, K (2014) a | 0.874 | 9 | 4 | 67% |
| 2 | Chernozhukov, V., Chetverikov, D., Kato, K (2016) Empirical and multiplier bootstraps for suprema of empirical processes of increasing complexity, and related Gaussian couplings | 0.794 | 6 | 4 | 50% |
| 3 | Haile, P. A., Hong, H., Shum, M (2003) Nonparametric tests for common values at first-price sealed-bid auctions, NBER Working paper No.10105 | 0.737 | 3 | 2 | 100% |
| 4 | Marmer, V., Shneyerov, A (2012) Quantile-based nonparametric inference for first-price auctions self | 0.702 | 26 | 10 | 35% |
| 5 | Chernozhukov, V., Chetverikov, D., Kato, K (2014) b | 0.652 | 18 | 7 | 28% |
| 6 | Guerre, E., Perrigne, I., Vuong, Q (2000) Optimal nonparametric estimation of first-price auctions | 0.644 | 2 | 2 | 100% |
| 7 | Kato, K., Sasaki, Y (2018) Uniform confidence bands in deconvolution with unknown error distribution | 0.644 | 2 | 2 | 100% |
| 8 | Kato, K., Sasaki, Y (2017) Uniform confidence bands for nonparametric errors-in-variables regression, working paper, University of Tokyo | 0.644 | 2 | 2 | 100% |
| 9 | Haile, P. A., Tamer, E (2003) Inference with an incomplete model of english auctions | 0.644 | 2 | 2 | 100% |
| 10 | Li, T., Perrigne, I., Vuong, Q (2003) Semiparametric estimation of the optimal reserve price in first-price auctions | 0.644 | 2 | 2 | 100% |
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