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Semiparametric Estimation of First-Price Auction Models

Aryal, Gaurab and Gabrielli, Maria F. and Vuong, Quang (2014): Semiparametric Estimation of First-Price Auction Models.

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We propose a semiparametric estimator within the class of indirect methods. Specifically, we model private valuations through a set of conditional moment restrictions. Our econometric model calls for a two step procedure. In the first step we recover a sample of pseudo private values while using a Local Polynomial Estimator. In the second step we use a GMM procedure to obtain an estimate for the parameter of interest. The proposed semiparametric estimator is shown to have desirable statistical properties namely, it is consistent and has an asymptotic normal distribution. Moreover, the estimator attains the parametric rate of convergence.

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