Nonparametric identification in asymmetric second-price auctions: A new approach

Arbeitspapier

This paper proposes an approach to proving nonparametric identification for distributions of bidders' values in asymmetric second-price auctions. I consider the case when bidders have independent private values and the only available data pertain to the winner's identity and the transaction price. My proof of identification is constructive and is based on establishing the existence and uniqueness of a solution to the system of non-linear differential equations that describes relationships between unknown distribution functions and observable functions. The proof is conducted in two logical steps. First, I prove the existence and uniqueness of a local solution. Then I describe a method that extends this local solution to the whole support. This paper delivers other interesting results. I show how this approach can be applied to obtain identification in more general auction settings, for instance, in auctions with stochastic number of bidders or weaker support conditions. Furthermore, I demonstrate that my results can be extended to generalized competing risks models. Moreover, contrary to results in classical competing risks (Roy model), I show that in this generalized class of models it is possible to obtain implications that can be used to check whether the risks in a model are dependent. Finally, I provide a sieve minimum distance estimator and show that it consistently estimates the underlying valuation distribution of interest.

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• Language: Englisch

References and Relationships

• Bibliographic citation: Series: cemmap working paper ; No. CWP31/09

Classification and Topics

• Classification: Wirtschaft
• Subject: Nichtparametrisches Verfahren ; Auktionstheorie ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Kitagawa, Toru
• Event: Veröffentlichung
• (who): Centre for Microdata Methods and Practice (cemmap)
• (where): London
• (when): 2009

Further information

• DOI: doi:10.1920/wp.cem.2009.3109
• Handle: http://hdl.handle.net/10419/64659