Empirical implementation of nonparametric first-price auction models |
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| Authors: | Daniel J. Henderson John A. List Daniel L. Millimet Christopher F. Parmeter Michael K. Price |
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| Affiliation: | 1. Department of Economics, State University of New York at Binghamton, Binghamton, NY, 13902-6000, United States;2. Institute for the Study of Labor (IZA), Bonn, Germany;3. Department of Economics, University of Chicago, Chicago, IL, 60637-1552, United States;4. National Bureau of Economic Research (NBER), Cambridge, MA, United States;5. Department of Economics, Southern Methodist University, Dallas, TX, 75275-0496, United States;6. Department of Economics, University of Miami, Coral Gables, FL, 33124-6520, United States;g Department of Economics, University of Tennessee, Knoxville, TN 37996-0550, United States |
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| Abstract: | 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 nonparametric 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 differing numbers of bidders, reserve prices, and auction-specific characteristics. Finite sample performance is examined using simulated data as well as experimental auction data. |
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| Keywords: | C12 C14 D44 |
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