block_length_auto: Automatic block length for the auction bootstrap

In qdfauction: Nonparametric Quantile Density Estimation and Structural Analysis of First-Price Auctions

Automatic block length for the auction bootstrap

Description

Automatic block length for the auction bootstrap

Usage

block_length_auto(B, mult = 2, warn_below = 15, winner = c("max", "min"))

Arguments

B	numeric matrix of bids, auctions in rows in time order, bidders in columns.
mult	multiplier on the Politis-White length; 2 is the value validated in the paper, results are insensitive over 1.5 to 3.
warn_below	warn when T / L_pw is below this value: the sample is then too short for the dependence range it contains and no block length recovers the full sampling variance (the paper's Table 6).
winner	"max" for a selling auction (highest bid wins), "min" for a procurement auction (lowest bid wins); the winning-bid series is built accordingly. Pass procurement bids in their original orientation with winner = "min"; the fitting itself is done by proc_values(), which reflects them.

Value

integer block length with attributes "L_pw" and "T_over_Lpw".

qdfauction documentation built on Nov. 10, 2026, 5:07 p.m.