Empirical Implementation of Nonparametric First-Price Auction Models

Daniel J. Henderson, John A. List, Daniel L. Millimet, Christopher F. Parmeter, Michael K. Price

NBER Working Paper No. 17095
Issued in May 2011
NBER Program(s):   EEE   IO

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 experimental auction data.

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Document Object Identifier (DOI): 10.3386/w17095

Published: Henderson, Daniel J. & List, John A. & Millimet, Daniel L. & Parmeter, Christopher F. & Price, Michael K., 2012. "Empirical implementation of nonparametric first-price auction models," Journal of Econometrics, Elsevier, vol. 168(1), pages 17-28. citation courtesy of

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