A new approach to identifying generalized competing risks models with application to second-price auctions

Tatiana Komarova

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: This paper proposes an approach to proving nonparametric identification for distributions of bidders' values in asymmetric second-price auctions. I consider the case when bidders have independent private values and the only available data pertain to the winner's identity and the transaction price. My proof of identification is constructive and is based on establishing the existence and uniqueness of a solution to the system of nonlinear differential equations that describes relationships between unknown distribution functions and observable functions. The proof is conducted in two logical steps. First, I prove the existence and uniqueness of a local solution. Then I describe a method that extends this local solution to the whole support. This paper delivers other interesting results. I demonstrate how this approach can be applied to obtain identification in auctions with a stochastic number of bidders. Furthermore, I show that my results can be extended to generalized competing risks models.

Keywords: Second-price auctions; ascending auctions; asymmetric bidders; private values; nonparametric identification; competing risks; coherent systems (search for similar items in EconPapers)
JEL-codes: C02 C14 C41 C65 D44 (search for similar items in EconPapers)
Date: 2013-07
New Economics Papers: this item is included in nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Published in Quantitative Economics, July, 2013, 4(2), pp. 269-328. ISSN: 1759-7323

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