Gimenes, Nathalie, Guerre, Emmanuel (2020) Nonparametric identification of an interdependent value model with buyer covariates from first-price auction bids. Journal of Econometrics, 219 (1). pp. 1-18. ISSN 0304-4076. (doi:10.1016/j.jeconom.2019.12.018) (KAR id:77791)
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Official URL: https://doi.org/10.1016/j.jeconom.2019.12.018 |
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 |
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DOI/Identification number: | 10.1016/j.jeconom.2019.12.018 |
Uncontrolled keywords: | First-price auction; interdependent values; nonparametric identification |
Subjects: |
H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory |
Divisions: | Divisions > Division of Human and Social Sciences > School of Economics |
Depositing User: | Emmanuel Guerre |
Date Deposited: | 24 Oct 2019 15:05 UTC |
Last Modified: | 14 Apr 2022 23:00 UTC |
Resource URI: | https://kar.kent.ac.uk/id/eprint/77791 (The current URI for this page, for reference purposes) |
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