Supplement to “What Model for Entry in First-Price Auctions? A Nonparametric Approach”

This paper contains supplemental materials for Marmer, Shneyerov, and Xu (2011), MSX hereafter. It establishes validity of the bootstrap delta-method expansion (65) in Appendix E of MSX. In what follows, the statistics with superscript † denote the bootstrap analogues of the statistics computed using the original data. To simplify the notion, we will suppress the subscript indicating the bootstrap sample number for bootstrap objects (m). Let P † denote probability conditional on the original sample. We use E† and V ar† to denote expectation and variance under P † respectively. Let π† denote the distribution of N † l implied by P †, i.e. π†(N) = P †(N † l = N) = L−1 L ∑