NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Daniel Henderson

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Working Papers

May 2011Empirical Implementation of Nonparametric First-Price Auction Models
with John A. List, Daniel L. Millimet, Christopher F. Parmeter, Michael K. Price: w17095
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 nonparamteric 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 differering number of bidders, reserve prices, and auction-specific characteristics. Finite sample performance is examined using simulated data as well as...

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