A simple test for moment inequality models with an application to English auctions

Andres Aradillas-Lopez, Amit Gandhi and Daniel Quint

Journal of Econometrics, 2016, vol. 194, issue 1, 96-115

Abstract: Testable predictions of many economic models involve inequality comparisons between transformations of nonparametric functionals. We introduce an econometric test for these types of restrictions based on one-sided Lp-statistics that adapt asymptotically to the contact sets without having to directly estimate them. Monte Carlo experiments show that our test is less conservative than procedures based on least-favorable configurations and has power comparable to other contact-set based procedures. As an application, we test for interdependence of bidders’ valuations in ascending auctions. Using USFS timber auction data we reject the Independent Private Values model in favor of a model of correlated private values.

Keywords: Conditional moment inequalities; Testing auctions; Independent private values (search for similar items in EconPapers)
JEL-codes: C12 C14 C57 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:194:y:2016:i:1:p:96-115

DOI: 10.1016/j.jeconom.2016.04.006

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