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Semiparametric Estimation of First-Price Auction Models

Author

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  • Gaurab Aryal
  • Maria F. Gabrielli
  • Quang Vuong

Abstract

In this article, we propose a two-step semiparametric procedure to estimate first-price auction models. In the first step, we estimate the bid density and distribution using local polynomial method, and recover a sample of (pseudo) private values. In the second step, we apply the method of moments to the sample of private values to estimate a finite set of parameters that characterize the density of private values. We show that our estimator attains the parametric consistency rate and is asymptotically normal. And we also determine its asymptotic variance. The advantage of our approach is that it can accommodate multiple auction covariates. Monte Carlo exercises show that the estimator performs well both in estimating the value density and in choosing the revenue maximizing reserve price. Supplementary materials for this article are available online.

Suggested Citation

  • Gaurab Aryal & Maria F. Gabrielli & Quang Vuong, 2021. "Semiparametric Estimation of First-Price Auction Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 373-385, March.
    • Handle: RePEc:taf:jnlbes:v:39:y:2021:i:2:p:373-385
    DOI: 10.1080/07350015.2019.1665530
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    1. Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, vol. 68(3), pages 525-574, May.
    2. Isabelle Perrigne & Quang Vuong, 1999. "Structural Econometrics of First-price Auctions: A Survey of Methods," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 47(3), pages 203-223, November.
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    4. Elodie Guerre & I. Perrigne & Q.H. Vuong, 2000. "Optimal nonparametric estimation of first-price auctions [[Estimation nonparamétrique optimale des enchères au premier prix]]," Post-Print hal-02697497, HAL.
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    Cited by:

    1. Gabrielli, M. Florencia & Willington, Manuel, 2023. "Estimating damages from bidding rings in first-price auctions," Economic Modelling, Elsevier, vol. 126(C).
    2. Gaurab Aryal & Maria F. Gabrielli, 2015. "Is Collusion-Proof Procurement Expensive?," Papers 1508.05353, arXiv.org, revised Nov 2020.
    3. Aryal, Gaurab & Gabrielli, Maria F., 2012. "Is Collusion Proof Auction Expensive? Estimates from Highway Procurements," MPRA Paper 57353, University Library of Munich, Germany, revised 19 Feb 2014.

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    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions

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