Nonparametric identification of an interdependent value model with buyer covariates from first-price auction bids

Nathalie Gimenes and Emmanuel Guerre

Journal of Econometrics, 2020, vol. 219, issue 1, 1-18

Abstract: This paper introduces a version of the interdependent value model of Milgrom and Weber (1982), where the signals are given by an index gathering signal shifters observed by the econometrician and private ones specific to each bidders. The model primitives are shown to be nonparametrically identified from first-price auction bids under a testable mild rank condition. Identification holds for all possible signal values. This allows to consider a wide range of counterfactuals where this is important, as expected revenue in second-price auction. An estimation procedure is briefly discussed.

Keywords: First-price auction; Interdependent values; Nonparametric identification (search for similar items in EconPapers)
JEL-codes: C14 C57 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:219:y:2020:i:1:p:1-18

DOI: 10.1016/j.jeconom.2019.12.018

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