arXiv subjects

Artyom Shneyerov

Publications and source records attributed to Artyom Shneyerov.

2 recordsLinked to original sources

arXiv2019

Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions

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.

econ.EM↗

arXiv2019

Inference for First-Price Auctions with Guerre, Perrigne, and Vuong's Estimator

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.

econ.EM↗