Nonparametric Identification of Auction Models with Non-Separable Unobserved Heterogeneity
AbstractWe propose a novel methodology for nonparametric identification of first-price auction models with independent private values, which accommodates auction-specific unobserved heterogeneity and bidder asymmetries, based on recent results from the econometric literature on nonclassical measurement error in Hu and Schennach (2008). Unlike Krasnokutskaya (2009), we do not require that equilibrium bids scale with the unobserved heterogeneity. Our approach accommodates a wide variety of applications, including settings in which there is an unobserved reserve price, an unobserved cost of bidding, or an unobserved number of bidders, as well as those in which the econometrician fails to observe some factor with a non-multiplicative effect on bidder values.
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Bibliographic InfoPaper provided by The Johns Hopkins University,Department of Economics in its series Economics Working Paper Archive with number 553.
Date of creation: Jun 2009
Date of revision:
Other versions of this item:
- Yingyao Hu & David McAdams & Matthew Shum, 2009. "Nonparametric identification of auction models with non-separable unobserved heterogeneity," CeMMAP working papers CWP15/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- NEP-ALL-2009-07-03 (All new papers)
- NEP-ECM-2009-07-03 (Econometrics)
- NEP-GTH-2009-07-03 (Game Theory)
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- James W. Roberts, 2009. "Unobserved Heterogeneity and Reserve Prices in Auctions," Working Papers 10-80, Duke University, Department of Economics.
- Athey, Susan & Haile, Philip A., 2007. "Nonparametric Approaches to Auctions," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 60 Elsevier.
- Lebrun, Bernard, 1999. "First Price Auctions in the Asymmetric N Bidder Case," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(1), pages 125-42, February.
- Susan Athey & Philip A. Haile, 2002.
"Identification of Standard Auction Models,"
Econometric Society, vol. 70(6), pages 2107-2140, November.
- Jonathan Levin & Susan Athey & Enrique Seira, 2004.
"Comparing Open and Sealed Bid Auctions: Theory and Evidence from Timber Auctions,"
2004.142, Fondazione Eni Enrico Mattei.
- Susan Athey & Jonathan Levin & Enrique Seira, 2004. "Comparing Open and Sealed Bid Auctions: Theory and Evidence from Timber Auctions," Levine's Bibliography 122247000000000524, UCLA Department of Economics.
- Susan Athey, 2005. "Comparing Open and Sealed Bid Auctions: Theory and Evidence from Timber Auctions," Theory workshop papers 658612000000000098, UCLA Department of Economics.
- Yingyao Hu & Susanne M. Schennach, 2008. "Instrumental Variable Treatment of Nonclassical Measurement Error Models," Econometrica, Econometric Society, vol. 76(1), pages 195-216, 01.
- Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, vol. 68(3), pages 525-574, May.
- Francesco Decarolis, 2009. "When the highest bidder loses the auction: theory and evidence from public procurement," Temi di discussione (Economic working papers) 717, Bank of Italy, Economic Research and International Relations Area.
- Xavier d'Haultfoeuille & Philippe Fevrier, 2010. "Identification of Mixture Models Using Support Variations," Working Papers 2010-12, Centre de Recherche en Economie et Statistique.
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