Jun Ma, Vadim Marmer, Artyom Shneyerov, Pai Xu
arXiv 27 Sep 2019 · Econometrics · publishedEconometric Reviews (2021) · 1 citations (OpenAlex)
arXiv:1909.12974 · PDF · DOI · OpenAlex · Extracted main text
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.
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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 | Marmer, V. and A. Shneyerov (2012) Quantile-based nonparametric inference for first-price auctions self | 0.928 | 5 | 5 | 80% |
| 2 | Haile, P. A., H. Hong, and M. Shum (2003) Nonparametric tests for common values at first-price sealed-bid auctions | 0.811 | 4 | 2 | 100% |
| 3 | Henderson, D. J., J. A. List, D. L. Millimet, C. F. Parmeter, and M.… (2012) Empirical implementation of nonparametric first-price auction models | 0.811 | 4 | 2 | 100% |
| 4 | Liu, N. and Y. Luo (2017) A nonparametric test for comparing valuation distributions in first-price auctions | 0.737 | 3 | 2 | 100% |
| 5 | Luo, Y. and Y. Wan (2018) Integrated-quantile-based estimation for first-price auction models | 0.737 | 3 | 2 | 100% |
| 6 | Chernozhukov, V., D. Chetverikov, and K. Kato (2014) Anti-concentration and honest, adaptive confidence bands | 0.511 | 2 | 2 | 50% |
| 7 | Chernozhukov, V., D. Chetverikov, and K. Kato (2014) Gaussian approximation of suprema of empirical processes | 0.511 | 2 | 2 | 50% |
| 8 | Dette, H., N. Neumeyer, and K. F. Pilz (2006) A simple nonparametric estimator of a strictly monotone regression function | 0.511 | 2 | 2 | 50% |
| 9 | Athey, S. and P. A. Haile (2007) Nonparametric approaches to auctions | 0.511 | 2 | 1 | 100% |
| 10 | Dette, H. and K. F. Pilz (2006) A comparative study of monotone nonparametric kernel estimates | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 39 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Estimation of Auction Models with Shape Restrictions | 0.811 | 4 | 2 |
| 2 | 2604.06643 | 0.737 | 3 | 3 |
| 3 | Nonparametric inference on counterfactuals in first-price auctions | 0.405 | 1 | 1 |
| 4 | Grenander-type Density Estimation under Myerson Regularity | 0.405 | 1 | 1 |