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Identification of first-price auctions with non-separable unobserved heterogeneity

Hu, Yingyao and McAdams, David and Shum, Matthew (2013) Identification of first-price auctions with non-separable unobserved heterogeneity. Journal of Econometrics, 174 (2). pp. 186-193. ISSN 0304-4076. doi:10.1016/j.jeconom.2013.02.005.

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We propose a novel methodology for identification of first-price auctions, when bidders’ private valuations are independent conditional on one-dimensional unobserved heterogeneity. We extend the existing literature (Li and Vuong, 1998 and Krasnokutskaya, 2011) by allowing the unobserved heterogeneity to be non-separable from bidders’ valuations. Our central identifying assumption is that the distribution of bidder values is increasing in the state. When the state-space is finite, such monotonicity implies the full-rank condition needed for identification. Further, we extend our approach to the conditionally independent private values model of Li et al. (2000), as well as to unobserved heterogeneity settings in which the implicit reserve price or the cost of bidding varies across auctions.

Item Type:Article
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Shum, Matthew0000-0002-6262-915X
Additional Information:© 2013 Elsevier B.V. Received 9 April 2010; Received in revised form 7 September 2012; Accepted 22 February 2013; Available online 5 March 2013.
Subject Keywords:Auction models; Nonparametric identification; Unobserved heterogeneity; Monotonicity
Issue or Number:2
Classification Code:JEL classification: C14; D44
Record Number:CaltechAUTHORS:20130531-084139316
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Official Citation:Yingyao Hu, David McAdams, Matthew Shum, Identification of first-price auctions with non-separable unobserved heterogeneity, Journal of Econometrics, Volume 174, Issue 2, June 2013, Pages 186-193, ISSN 0304-4076, 10.1016/j.jeconom.2013.02.005.
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:38719
Deposited By: Tony Diaz
Deposited On:04 Jun 2013 19:11
Last Modified:09 Nov 2021 23:39

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