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A new approach to identifying generalized competing risks models with application to second-price auctions

Komarova, Tatiana (2013) A new approach to identifying generalized competing risks models with application to second-price auctions. Quantitative Economics, 4 (2). pp. 269-328. ISSN 1759-7323

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Identification Number: 10.3982/QE111

Abstract

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 nonlinear 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 demonstrate how this approach can be applied to obtain identification in auctions with a stochastic number of bidders. Furthermore, I show that my results can be extended to generalized competing risks models.

Item Type: Article
Official URL: http://onlinelibrary.wiley.com/journal/10.1111/(IS...
Additional Information: © 2013 The Author
Divisions: Economics
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HC Economic History and Conditions
H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
H Social Sciences > HG Finance
Q Science > QA Mathematics
JEL classification: C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods
C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C41 - Duration Analysis
C - Mathematical and Quantitative Methods > C6 - Mathematical Methods and Programming > C65 - Miscellaneous Mathematical Tools
D - Microeconomics > D4 - Market Structure and Pricing > D44 - Auctions
Sets: Departments > Economics
Date Deposited: 12 Aug 2013 14:51
Last Modified: 20 Feb 2019 10:33
Funders: Econometrics Center at Northwestern University
URI: http://eprints.lse.ac.uk/id/eprint/50245

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