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arXiv · 1407.7140

Semiparametric Estimation of First-Price Auction Models

Gaurab Aryal·Maria Florencia Gabrielli·Quang Vuong
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Abstract

We propose a semiparametric method to estimate the density of private values in first-price auctions. Specifically, we model private values through a set of conditional moment restrictions and use a two-step procedure. In the first step we recover a sample of pseudo private values using Local Polynomial Estimator. In the second step we use a GMM procedure to estimate the parameter(s) of interest. We show that the proposed semiparametric estimator is consistent, has an asymptotic normal distribution, and attains the parametric ("root-n") rate of convergence.

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Gaurab Aryal, Maria Florencia Gabrielli, Quang Vuong. 2014-07-26. Semiparametric Estimation of First-Price Auction Models. https://arxiv.org/abs/1407.7140

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