A NONPARAMETRIC TEST FOR COMPARING VALUATION DISTRIBUTIONS IN FIRST‐PRICE AUCTIONS
提出一种非参数检验方法，用于比较第一价格拍卖中竞拍者的估值分布是否相同，避免估计未观测的估值和竞价密度，适用于美国林务局木材拍卖数据。
This article proposes a nonparametric test for comparing valuation distributions in first‐price auctions. Our test is motivated by the fact that two valuation distributions are the same if and only if their integrated quantile functions are the same. Our method avoids estimating unobserved valuations and does not require smooth estimation of bid density. We show that our test is consistent against all fixed alternatives and has nontrivial power against root‐N local alternatives. Monte Carlo experiments show that our test performs well in finite samples. We implement our method on data from U.S. Forest Service timber auctions.