Statistics Seminar（2016-11）

Topic:Nonparametric Test of Monotonicity of Bidding Strategy in First Price Auctions

Speaker:Nianqing Liu, Shanghai University of Finance and Economics

Time:Thursday, 2 June, 14:00-15:30

Place:Room 217, Guanghua Building 2

Abstract:

This paper develops a nonparametric test of monotonicity of bidding strategy in first price auctions. As shown by Guerre, Perrigne and Vuong (2000), monotonicity of bidding strategy is the essential restriction imposed by the (theoretical) symmetric first price auctions on distribution of bids. Based on the equivalence between monotonicity of bidding strategy and convexity of integrated value quantile of a bidder's strongest competitor, we propose a test statistic measuring a distance of the integrated value quantile of a bidder's strongest competitor from convexity. It only involves in estimation of bid quantile function, and hence avoids smoothing estimation of bid density. Our test with bootstrap critical values is shown to have the correct size asymptotically, to be consistent against all fixed alternatives and to have non-trivial power against root-n local alternatives. Monte Carlo experiments show that our testing procedure works well in finite samples.

Introduction:

Dr. Nianqing Liu is an Assistant Professor at School of Ec?onomics of Shanghai University of Finance & Economics. He holds a Ph.D. in Economics from Pennsylvania State University.

//nianqing-liu.weebly.com/

Your participation is warmly welcomed!