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...

We develop a nonparametric approach that allows for discrimination among alternative models of entry in first-price auctions. Three models of entry are considered: those of Levin and Smith (1994), Samuelson (1985), and a new model in which the information received at the entry stage is...

In this paper, we focus on inference on the probability density function (PDF) of the valuations in the first-price sealed-bid auction models within the independent private value paradigm in the presence of auction-specific heterogeneity. We show the asymptotic normality of the two-step...