Skip to main content

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

Gimenes, Nathalie, Guerre, Emmanuel (2019) Nonparametric identification of an interdependent value model with buyer covariates from first-price auction bids. Journal of Econometrics, . ISSN 0304-4076. (In press) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided)

PDF - Author's Accepted Manuscript
Restricted to Repository staff only
Contact us about this Publication
[img]
Official URL
https://arxiv.org/abs/1910.10646

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.

Item Type: Article
Uncontrolled keywords: First-price auction; interdependent values; nonparametric identification
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
Divisions: Faculties > Social Sciences > School of Economics
Depositing User: Emmanuel Guerre
Date Deposited: 24 Oct 2019 15:05 UTC
Last Modified: 05 Feb 2020 11:23 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/77791 (The current URI for this page, for reference purposes)
Guerre, Emmanuel: https://orcid.org/0000-0002-4130-0881
  • Depositors only (login required):

Downloads

Downloads per month over past year