Nonparametric identification and estimation of a class of common value auction models
Structural econometric studies on auctions have mainly focused on the independent private value paradigm. In this paper, we are interested in the 'opposite' case known as the pure common value model. More precisely, we restrict our attention to a class of common value models defined by three functions: the density of the true value of the auctioned good, a unique function that appears in the definition of the conditional densities of the signals, and the function that defines the support of the conditional densities. We establish that these common value models are nonparametrically identified without any further restrictions. We then propose a one-step nonparametric estimation method and prove the uniform consistency of our estimators. We apply our method on simulated data and show that the technique we propose is adequate to recover the distribution functions of interest. Copyright © 2008 John Wiley & Sons, Ltd.
Volume (Year): 23 (2008)
Issue (Month): 7 ()
|Contact details of provider:|| Web page: http://www.interscience.wiley.com/jpages/0883-7252/|
|Order Information:|| Web: http://www3.interscience.wiley.com/jcatalog/subscribe.jsp?issn=0883-7252 Email: |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Milgrom, Paul R & Weber, Robert J, 1982.
"A Theory of Auctions and Competitive Bidding,"
Econometric Society, vol. 50(5), pages 1089-1122, September.
- Philip A. Haile & Han Hong & Matthew Shum, 2004.
"Nonparametric Tests for Common Values in First-Price Sealed-Bid Auctions,"
2004.149, Fondazione Eni Enrico Mattei.
- Philip A. Haile & Han Hong & Matthew Shum, 2003. "Nonparametric Tests for Common Values in First-Price Sealed-Bid Auctions," Cowles Foundation Discussion Papers 1445, Cowles Foundation for Research in Economics, Yale University.
- Philip A. Haile & Han Hong & Matthew Shum, 2003. "Nonparametric Tests for Common Values at First-Price Sealed-Bid Auctions," NBER Working Papers 10105, National Bureau of Economic Research, Inc.
- Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, vol. 68(3), pages 525-574, May.
- Kenneth Hendricks & Joris Pinkse & Robert H. Porter, 2001.
"Empirical Implications of Equilibrium Bidding in First-Price, Symmetric, Common Value Auctions,"
NBER Working Papers
8294, National Bureau of Economic Research, Inc.
- Kenneth Hendricks & Joris Pinkse & Robert H. Porter, 2003. "Empirical Implications of Equilibrium Bidding in First-Price, Symmetric, Common Value Auctions," Review of Economic Studies, Oxford University Press, vol. 70(1), pages 115-145.
- Rob Porter, 1999. "Empirical Implications of Equilibrium Bidding in First-Price, Symmetric, Common Value Auctions," Working papers 99-19, Massachusetts Institute of Technology (MIT), Department of Economics.
- Laffont, Jean-Jacques & Ossard, Hervé & Vuong, Quang, 1991.
"Econometrics of First-Price Auctions,"
IDEI Working Papers
7, Institut d'Économie Industrielle (IDEI), Toulouse.
- Donald, Stephen G. & Paarsch, Harry J., 1996. "Identification, Estimation, and Testing in Parametric Empirical Models of Auctions within the Independent Private Values Paradigm," Econometric Theory, Cambridge University Press, vol. 12(03), pages 517-567, August.
- Matt Shum & Phil Haile & Han Hong, 2003. "Nonparametric Tests for Common Values in First-Price Auctions," Economics Working Paper Archive 501, The Johns Hopkins University,Department of Economics.
- Elyakime, Bernard, et al, 1997. "Auctioning and Bargaining: An Econometric Study of Timber Auctions with Secret Reservation Prices," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(2), pages 209-20, April.
- Athey,S. & Haile,P.A., 2000.
"Identification of standard auction models,"
13, Wisconsin Madison - Social Systems.
- Robert Wilson, 1977. "A Bidding Model of Perfect Competition," Review of Economic Studies, Oxford University Press, vol. 44(3), pages 511-518.
- repec:adr:anecst:y:1994:i:34:p:05 is not listed on IDEAS
- Laffont, Jean-Jacques & Vuong, Quang, 1996. "Structural Analysis of Auction Data," American Economic Review, American Economic Association, vol. 86(2), pages 414-20, May.
- Li, Tong & Perrigne, Isabelle & Vuong, Quang, 2000. "Conditionally independent private information in OCS wildcat auctions," Journal of Econometrics, Elsevier, vol. 98(1), pages 129-161, September.
- Vuong, Q. & Laffont, J.J. & Elyakime, B. & Loisel, P., 1995. "Auctioning and Bargaining: An Econometric Study of Timber Auctions with Secret Reservation Prices," Papers 9502, Southern California - Department of Economics.
- Paarsch, Harry J., 1992. "Deciding between the common and private value paradigms in empirical models of auctions," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 191-215.
When requesting a correction, please mention this item's handle: RePEc:jae:japmet:v:23:y:2008:i:7:p:949-964. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.