Structural Estimation of the Affliated Private Value Auction Model
AbstractWe consider the structural estimation of the affiliated private value (APV) model in first-price sealed-bid auctions. The model allows for bidders' individual efficiencies and opportunity costs, while permitting dependence among bidders' private values through affiliation. We establish the nonparametric identification of the APV model, characterize its theoretical restrictions, and propose a computationally convenient and consistent two-step nonparametric estimation procedure for estimating the joint private value distribution from observed bids. Using simulated bid data, we provide a step-by-step guide on how to implement our procedure and show the good behavior of our estimator in small samples.
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Bibliographic InfoArticle provided by The RAND Corporation in its journal RAND Journal of Economics.
Volume (Year): 33 (2002)
Issue (Month): 2 (Summer)
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- Hu, Yingyao & McAdams, David & Shum, Matthew, 2013. "Identification of first-price auctions with non-separable unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 174(2), pages 186-193.
- Shneyerov, Artyom & Wong, Adam Chi Leung, 2011.
"Identification in first-price and Dutch auctions when the number of potential bidders is unobservable,"
Games and Economic Behavior,
Elsevier, vol. 72(2), pages 574-582, June.
- Shneyerov, Art & Wong, Adam Chi Leung, 2008. "Identification in First-Price and Dutch Auctions when the Number of Potential Bidders is Unobservable," Microeconomics.ca working papers artyom_shneyerov-2008-12, Vancouver School of Economics, revised 01 Oct 2008.
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