Quantile-Based Nonparametric Inference for First-Price Auctions Marmer, Vadim; Shneyerov, Artyom

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Marmer, Vadim ; Shneyerov, Artyom
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Journal of Econometrics
Auctions -- Analysis; Economics; Analysis
To link to full-text access for this article, visit this link: http://dx.doi.org/10.1016/j.jeconom.2011.09.020 Byline: Vadim Marmer, Artyom Shneyerov Abstract: We propose a quantile-based nonparametric approach to inference on the probability density function (PDF) of the private values in first-price sealed-bid auctions with independent private values. Our method of inference is based on a fully nonparametric kernel-based estimator of the quantiles and PDF of observable bids. Our estimator attains the optimal rate of , and is also asymptotically normal with an appropriate choice of the bandwidth.
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