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Structural Estimation of the Affliated Private Value Auction Model

Author

Listed:
  • Tong Li
  • Isabelle Perrigne
  • Quang Vuong

Abstract

We consider the structural estimation of the affiliated private value (APV) model in first-price sealed-bid auctions. The model allows for bidders' individual efficiencies and opportunity costs, while permitting dependence among bidders' private values through affiliation. We establish the nonparametric identification of the APV model, characterize its theoretical restrictions, and propose a computationally convenient and consistent two-step nonparametric estimation procedure for estimating the joint private value distribution from observed bids. Using simulated bid data, we provide a step-by-step guide on how to implement our procedure and show the good behavior of our estimator in small samples.

Suggested Citation

  • Tong Li & Isabelle Perrigne & Quang Vuong, 2002. "Structural Estimation of the Affliated Private Value Auction Model," RAND Journal of Economics, The RAND Corporation, vol. 33(2), pages 171-193, Summer.
  • Handle: RePEc:rje:randje:v:33:y:2002:i:summer:p:171-193
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    1. repec:spr:annopr:v:258:y:2017:i:2:d:10.1007_s10479-016-2164-x is not listed on IDEAS
    2. Hu, Yingyao & McAdams, David & Shum, Matthew, 2013. "Identification of first-price auctions with non-separable unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 174(2), pages 186-193.
    3. Henderson, Daniel J. & List, John A. & Millimet, Daniel L. & Parmeter, Christopher F. & Price, Michael K., 2012. "Empirical implementation of nonparametric first-price auction models," Journal of Econometrics, Elsevier, vol. 168(1), pages 17-28.
    4. Tong Li & Bingyu Zhang, 2015. "Affiliation and Entry in First-Price Auctions with Heterogeneous Bidders: An Analysis of Merger Effects," American Economic Journal: Microeconomics, American Economic Association, vol. 7(2), pages 188-214, May.
    5. Shneyerov, Artyom & Wong, Adam Chi Leung, 2011. "Identification in first-price and Dutch auctions when the number of potential bidders is unobservable," Games and Economic Behavior, Elsevier, vol. 72(2), pages 574-582, June.
    6. Waisman, Caio, 2016. "Identification and estimation of discriminatory auctions when bidders have private values and singleton demand," Economics Letters, Elsevier, vol. 144(C), pages 1-3.
    7. Brasil, Eric Universo Rodrigues & Postali, Fernando Antonio Slaibe, 2014. "Informational rents in oil and gas concession auctions in Brazil," Energy Economics, Elsevier, vol. 46(C), pages 93-101.
    8. Aradillas-López, Andrés & Gandhi, Amit & Quint, Daniel, 2016. "A simple test for moment inequality models with an application to English auctions," Journal of Econometrics, Elsevier, vol. 194(1), pages 96-115.
    9. Sant'Anna, Marcelo Castello Branco, 2017. "Empirical analysis of scoring auctions for oil and gas leases," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 789, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    10. Ma, Jun & Marmer, Vadim & Shneyerov, Artyom, 2016. "Inference for First-Price Auctions with Guerre, Perrigne, and Vuong's estimator," Microeconomics.ca working papers vadim_marmer-2016-4, Vancouver School of Economics, revised 17 Mar 2018.
    11. Strömbäck, Elon, 2015. "Policy by Public Procurement: Opportunities and Pitfalls," Umeå Economic Studies 915, Umeå University, Department of Economics.

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