Semi-nonparametric estimation of independently and identically repeated first-price auctions via an integrated simulated moments method
基于积分模拟矩的独立同分布重复第一价格拍卖半非参数估计
In this paper we propose to estimate the value distribution of independently and identically repeated first-price auctions directly via a semi-nonparametric integrated simulated moments sieve approach. Given a candidate value distribution function in a sieve space, we simulate bids according to the equilibrium bid function involved. We take the difference of the empirical characteristic functions of the actual and simulated bids as the moment function. The objective function…