Identification of first-price auctions with non-separable unobserved heterogeneity

Yingyao Hu, David McAdams () and Matthew Shum ()

Journal of Econometrics, 2013, vol. 174, issue 2, 186-193

Abstract: We propose a novel methodology for identification of first-price auctions, when bidders’ private valuations are independent conditional on one-dimensional unobserved heterogeneity. We extend the existing literature (Li and Vuong, 1998; Krasnokutskaya, 2011) by allowing the unobserved heterogeneity to be non-separable from bidders’ valuations. Our central identifying assumption is that the distribution of bidder values is increasing in the state. When the state-space is finite, such monotonicity implies the full-rank condition needed for identification. Further, we extend our approach to the conditionally independent private values model of Li et al. (2000), as well as to unobserved heterogeneity settings in which the implicit reserve price or the cost of bidding varies across auctions.

Keywords: Auction models; Nonparametric identification; Unobserved heterogeneity; Monotonicity (search for similar items in EconPapers)
JEL-codes: C14 D44 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:174:y:2013:i:2:p:186-193

DOI: 10.1016/j.jeconom.2013.02.005

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