Cookies?
Library Header Image
LSE Research Online LSE Library Services

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

Komarova, Tatiana (2009) Nonparametric identification in asymmetric second-price auctions: a new approach. In: Econ 370 Econometrics Seminar Series, 23 September 2009, Department of Economics, Stanford University, California, USA. (Unpublished)

Full text not available from this repository.

Abstract

This paper proposes an approach to proving nonparametric identification in gen- eralized competing risks models. I focus on second-price auctions, which constitute a special case of these models, and analyze the identification of asymmetric distri- butions of bidders' values. I consider the situation where bidders have independent private values, and the only available data pertain to the winner's identity and to the winning price. I provide conditions on observable data sufficient to guarantee point identification. My identification proof is constructive and based on establishing the existence and uniqueness of a solution to the system of non-linear differential equa- tions that describes the relationships between unknown distribution functions and observable functions. I demonstrate how this approach can be extended to obtain identification in any generalized competing risks model. Moreover, contrary to classi- cal competing risks (Roy model) results, I describe how generalized models can yield implications that can help check for model misspecification.

Item Type: Conference or Workshop Item (Lecture)
Official URL: http://economics.stanford.edu/seminars/
Additional Information: © 2009 The Author
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods
Sets: Departments > Economics
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 20 Feb 2012 12:34
URL: http://eprints.lse.ac.uk/41947/

Actions (login required)

Record administration - authorised staff only Record administration - authorised staff only