Nonparametric identification of auction models with non-separable unobserved heterogeneity
We 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.
|Date of creation:||09 Jul 2009|
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- Susan Athey, 2005.
"Comparing Open and Sealed Bid Auctions: Theory and Evidence from Timber Auctions,"
Theory workshop papers
658612000000000098, UCLA Department of Economics.
- Susan Athey & Jonathan Levin & Enrique Seira, 2004. "Comparing Open and Sealed Bid Auctions: Theory and Evidence from Timber Auctions," Levine's Bibliography 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.
- Yingyao Hu & Susanne M. Schennach, 2008. "Instrumental Variable Treatment of Nonclassical Measurement Error Models," Econometrica, Econometric Society, vol. 76(1), pages 195-216, 01.
- Athey,S. & Haile,P.A., 2000.
"Identification of standard auction models,"
13, Wisconsin Madison - Social Systems.
- Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, vol. 68(3), pages 525-574, May.
- Francesco Decarolis, 2009.
"When the highest bidder loses the auction: theory and evidence from public procurement,"
Temi di discussione (Economic working papers)
717, Bank of Italy, Economic Research and International Relations Area.
- Francesco Decarolis, 2009. "When the Highest Bidder Loses the Auction: Theory and Evidence from Public Procurement," 2009 Meeting Papers 130, Society for Economic Dynamics.
- 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.
- Lebrun, Bernard, 1997. "First Price Auctions in the Asymmetric N Bidder Case," Cahiers de recherche 9715, Université Laval - Département d'économique.
- James W. Roberts, 2009. "Unobserved Heterogeneity and Reserve Prices in Auctions," Working Papers 10-80, Duke University, Department of Economics.
- Athey, Susan & Haile, Philip A., 2007. "Nonparametric Approaches to Auctions," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 60 Elsevier.
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