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Empirical Implementation of Nonparametric First-Price Auction Models / Daniel J. Henderson, John A. List, Daniel L. Millimet, Christopher F. Parmeter, Michael K. Price.
- Format:
- Book
- Author/Creator:
- Henderson, Daniel J.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w17095.
- NBER working paper series no. w17095
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2011.
- Summary:
- 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 nonparamteric 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 differering number of bidders, reserve prices, and auction-specific characteristics. Finite sample performance is examined using simulated data as well as experimental auction data.
- Notes:
- Print version record
- May 2011.
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