Large sample properties for estimators based on the order statistics approach in auctions

Abstract

For symmetric auctions, there is a close relationship between distributions of order statistics of bidders' valuations and observable bids that is often used to estimate or bound the valuation distribution, optimal reserve price, and other quantities of interest nonparametrically. However, we show that the functional mapping from distributions of order statistics to their parent distribution is, in general, not Lipschitz continuous and, therefore, introduces an irregularity into the estimation problem. More specifically, we derive the optimal rate for nonparametric point estimation of, and bounds for, the private value distribution, which is typically substantially slower than the regular root-n rate. We propose trimming rules for the nonparametric estimator that achieve that rate and derive the asymptotic distribution for a regularized estimator. We then demonstrate that policy parameters that depend on the valuation distribution, including optimal reserve price and expected revenue, are irregularly identified when bidding data are incomplete. We also give rates for nonparametric estimation of descending bid auctions and strategic equivalents.