IDENTIFICATION AND ESTIMATION OF AUCTION MODEL WITH TWO‐DIMENSIONAL UNOBSERVED HETEROGENEITY

Elena Krasnokutskaya ()

International Economic Review, 2012, vol. 53, issue 3, 659-692

Abstract: This article investigates the empirical importance of allowing for multidimensional sources of unobserved heterogeneity in auction models with private information. It develops the estimation procedure to recover the distribution of private information in the presence of two sources of unobserved heterogeneity. It is shown that this estimation procedure identifies components of the model and produces uniformly consistent estimators of these components. The results of the estimation with highway procurement data indicate that allowing for two‐dimensional unobserved heterogeneity may significantly affect the results of estimation as well as policy‐relevant instruments derived from the estimated distributions of bidders’ costs.

Date: 2012
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https://doi.org/10.1111/j.1468-2354.2012.00696.x

Related works:
Working Paper: Identification and Estimation of Auction Model with Two-Dimensional Unobserved Heterogeneity (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:iecrev:v:53:y:2012:i:3:p:659-692

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