Semi-nonparametric estimation of secret reserve prices in auctions

Joshua Foster

Economics Letters, 2022, vol. 220, issue C

Abstract: This letter proposes an estimation method for the distribution of unobservable secret seller reserve prices in auctions. Within the symmetric affiliated private values model, I construct a density estimator using the semi-nonparametric quasi maximum likelihood approach developed by Gallant and Nychka (1987). I then use Monte Carlo experiments to demonstrate its performance in relatively small samples. A discussion on applying this method to structurally similar identification problems is provided.

Keywords: Auctions; Sieve estimator; Secret reserve prices; Nonparametric estimation (search for similar items in EconPapers)
JEL-codes: C14 D44 L11 L86 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:220:y:2022:i:c:s0165176522003172

DOI: 10.1016/j.econlet.2022.110843

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