Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: May, 2000, Volume 68, Issue 3

Optimal Nonparametric Estimation of First‐price Auctions

https://doi.org/10.1111/1468-0262.00123
p. 525-574

Emmanuel Guerre, Isabelle Perrigne, Quang Vuong

This paper proposes a general approach and a computationally convenient estimation procedure for the structural analysis of auction data. Considering first‐price sealed‐bid auction models within the independent private value paradigm, we show that the underlying distribution of bidders' private values is identified from observed bids and the number of actual bidders without any parametric assumptions. Using the theory of minimax, we establish the best rate of uniform convergence at which the latent density of private values can be estimated nonparametrically from available data. We then propose a two‐step kernel‐based estimator that converges at the optimal rate.


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