Henderson, Daniel J. and List, John A. and Millimet, Daniel L. and Parmeter, Christopher F. and Price, Michael K. (2008): Imposing Monotonicity Nonparametrically in FirstPrice Auctions.
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Abstract
Monotonicity of the equilibrium bidding strategy is a key property of structural auction models. Traditional nonparametric estimators provide a flexible means of uncovering salient features of auction data, but do not formally impose the monotonicity assumption that is inherent in the models during estimation. Here, we develop a nonparametric estimator which imposes monotonicity. We accomplish this by employing the constrained weighted bootstrapping theory developed in the statistics literature. 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 auctionspecific characteristics. Finite sample performance is examined using simulated data as well as experimental auction data.
Item Type:  MPRA Paper 

Original Title:  Imposing Monotonicity Nonparametrically in FirstPrice Auctions 
Language:  English 
Keywords:  Constrained Weighted Bootstrap; Bandwidth; Equilibrium Bidding Strategy; Automatic Bandwidth Selection 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C14  Semiparametric and Nonparametric Methods: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General D  Microeconomics > D4  Market Structure, Pricing, and Design > D44  Auctions 
Item ID:  19538 
Depositing User:  Daniel J. Henderson 
Date Deposited:  30. Dec 2009 10:01 
Last Modified:  15. Feb 2013 20:56 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/19538 
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Imposing Monotonicity Nonparametrically in FirstPrice Auctions. (deposited 16. May 2008 00:40)
 Imposing Monotonicity Nonparametrically in FirstPrice Auctions. (deposited 30. Dec 2009 10:01) [Currently Displayed]