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 the monotonicity assumption. We accomplish this by employing the constraint weighted bootstrapping theory developed in the statistics literature. The finite sample performance of our estimator is examined using simulated data, experimental data, as well as a naturally occurring data set composed of thousands of bids from Canadian timber auctions.
Item Type:  MPRA Paper 

Original Title:  Imposing Monotonicity Nonparametrically in FirstPrice Auctions 
Language:  English 
Keywords:  Constrained Weighted Bootstrap; Bandwidth; Equilibrium Bidding Strategy 
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:  8769 
Depositing User:  Daniel J. Henderson 
Date Deposited:  16. May 2008 00:40 
Last Modified:  03. Mar 2013 09:26 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/8769 
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