Nonparametric identification of auction models with non-separable unobserved heterogeneity

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

No CWP15/09, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract:

We propose a novel methodology for nonparametric identification of first-price auction models with independent private values, which accommodates auction-specific unobserved heterogeneity and bidder asymmetries, based on recent results from the econometric literature on nonclassical measurement error in Hu and Schennach (2008). Unlike Krasnokutskaya (2009), we do not require that equilibrium bids scale with the unobserved heterogeneity. Our approach accommodates a wide variety of applications, including settings in which there is an unobserved reserve price, an unobserved cost of bidding, or an unobserved number of bidders, as well as those in which the econometrician fails to observe some factor with a non-multiplicative effect on bidder values.

Date: 2009-07-09
New Economics Papers: this item is included in nep-gth
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Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Nonparametric Identification of Auction Models with Non-Separable Unobserved Heterogeneity (2009)
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