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- W2973194278 abstract "The paper proposes a quantile-regression inference framework for first-price auctions with symmetric risk-neutral bidders under the independent private-value paradigm. It is first shown that a private-value quantile regression generates a quantile regression for the bids. The private-value quantile regression can be easily estimated from the bid quantile regression and its derivative with respect to the quantile level. This also allows to test for various specification or exogeneity null hypothesis using the observed bids in a simple way. A new local polynomial technique is proposed to estimate the latter over the whole quantile level interval. Plug-in estimation of functionals is also considered, as needed for the expected revenue or the case of CRRA risk-averse bidders, which is amenable to our framework. A quantile-regression analysis to USFS timber is found more appropriate than the homogenized-bid methodology and illustrates the contribution of each explanatory variables to the private-value distribution. Linear interactive sieve extensions are proposed and studied in the Appendices." @default.
- W2973194278 created "2019-09-19" @default.
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- W2973194278 date "2019-09-12" @default.
- W2973194278 modified "2023-09-27" @default.
- W2973194278 title "Quantile regression methods for first-price auctions" @default.
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