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Nonparametric Identification of First-Price Auctions with Non-Separable Unobserved Heterogeneity

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Author Info

  • David McAdams
  • Yingyao Hu
  • Matthew Shum

Abstract

We propose a novel methodology for nonparametric identification of first-price auction models with independent private values, which allows for one-dimensional auctionspecific unobserved heterogeneity, based on recent results from the econometric literature on nonclassical measurement error in Hu and Schennach (2008). Our approach can accommodate a wide variety of applications in which some location of the conditional distribution of bids (e.g. min or max of the support, mean, etc.) is increasing in the unobserved heterogeneity. This includes settings in which the econometrician fails to observe the reserve price, the cost of bidding, the number of bidders, or some factor (“quality”) with a non-linear effect on bidder values.

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Bibliographic Info

Paper provided by Duke University, Department of Economics in its series Working Papers with number 10-63.

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Length: 21
Date of creation: 2010
Date of revision:
Handle: RePEc:duk:dukeec:10-63

Contact details of provider:
Postal: Department of Economics Duke University 213 Social Sciences Building Box 90097 Durham, NC 27708-0097
Phone: (919) 660-1800
Fax: (919) 684-8974
Web page: http://econ.duke.edu/

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Cited by:
  1. Susanne Schennach, 2012. "Measurement error in nonlinear models- a review," CeMMAP working papers CWP41/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

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