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The econometrics of auctions with asymmetric anonymous bidders

Listed author(s):
  • Lamy, Laurent

We consider standard auction models when bidders’ identities are not–or are only partially–observed by the econometrician. We first adapt the definition of identifiability to a framework with anonymous bids and explore the extent to which anonymity reduces the possibility of identifying private value auction models. Second, in the asymmetric independent private value model which is nonparametrically identified, we generalize Guerre, Perrigne and Vuong’s estimation procedure [Optimal nonparametric estimation of first-price auctions, Econometrica 68 (2000) 525–574] and consider the asymptotic properties of our multi-step kernel-based estimator. Monte Carlo simulations illustrate the practical relevance of our estimation procedure in small data sets.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 167 (2012)
Issue (Month): 1 ()
Pages: 113-132

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Handle: RePEc:eee:econom:v:167:y:2012:i:1:p:113-132
DOI: 10.1016/j.jeconom.2011.10.007
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, vol. 68(3), pages 525-574, May.
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