Identification of first-price auctions with non-equilibrium beliefs: A measurement error approach

Yonghong An

Journal of Econometrics, 2017, vol. 200, issue 2, 326-343

Abstract: This paper studies identification and estimation of two models for first-price auctions: (1) bidders’ beliefs about their opponents’ bidding behavior are not in equilibrium but follow “level-k” thinking, and (2) bidders’ values are asymmetrically distributed. Exploiting the nonparametric methodology developed for measurement error models (e.g., Hu, 2008), we show that both models can be identified by a unified methodology. The proposed methodology is applied to US Forest Service timber auction data and the estimation results suggest that bidders hold heterogeneous and non-equilibrium beliefs.

Keywords: First-price auctions; Measurement error models; Non-equilibrium beliefs; Asymmetric value distributions; Nonparametric identification and estimation (search for similar items in EconPapers)
JEL-codes: C14 D44 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:200:y:2017:i:2:p:326-343

DOI: 10.1016/j.jeconom.2017.06.014

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