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, Centre for Microdata Methods and Practice, Institute for Fiscal Studies 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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- 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.
- James W. Roberts, 2009. "Unobserved Heterogeneity and Reserve Prices in Auctions," Working Papers, Duke University, Department of Economics 10-80, Duke University, Department of Economics.
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- Yingyao Hu & Susanne M. Schennach, 2008. "Instrumental Variable Treatment of Nonclassical Measurement Error Models," Econometrica, Econometric Society, Econometric Society, vol. 76(1), pages 195-216, 01.
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"Identification of standard auction models,"
Working papers, Wisconsin Madison - Social Systems
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- Susan Athey & Jonathan Levin & Enrique Seira, 2004.
"Comparing Open and Sealed Bid Auctions: Theory and Evidence from Timber Auctions,"
122247000000000524, UCLA Department of Economics.
- Jonathan Levin & Susan Athey & Enrique Seira, 2004. "Comparing Open and Sealed Bid Auctions: Theory and Evidence from Timber Auctions," Working Papers 2004.142, Fondazione Eni Enrico Mattei.
- Susan Athey, 2005. "Comparing Open and Sealed Bid Auctions: Theory and Evidence from Timber Auctions," Theory workshop papers, UCLA Department of Economics 658612000000000098, UCLA Department of Economics.
- Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, Econometric Society, vol. 68(3), pages 525-574, May.
- Xavier d'Haultfoeuille & Philippe Fevrier, 2010. "Identification of Mixture Models Using Support Variations," Working Papers, Centre de Recherche en Economie et Statistique 2010-12, Centre de Recherche en Economie et Statistique.
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