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Semi-nonparametric estimation of secret reserve prices in auctions

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  • Foster, Joshua

Abstract

This letter proposes an estimation method for the distribution of unobservable secret seller reserve prices in auctions. Within the symmetric affiliated private values model, I construct a density estimator using the semi-nonparametric quasi maximum likelihood approach developed by Gallant and Nychka (1987). I then use Monte Carlo experiments to demonstrate its performance in relatively small samples. A discussion on applying this method to structurally similar identification problems is provided.

Suggested Citation

  • Foster, Joshua, 2022. "Semi-nonparametric estimation of secret reserve prices in auctions," Economics Letters, Elsevier, vol. 220(C).
    • Handle: RePEc:eee:ecolet:v:220:y:2022:i:c:s0165176522003172
    DOI: 10.1016/j.econlet.2022.110843
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
    • L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms
    • L86 - Industrial Organization - - Industry Studies: Services - - - Information and Internet Services; Computer Software

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