Komarova, Tatiana 
ORCID: 0000-0002-6581-5097
(2009)
Nonparametric identification in asymmetric second-price auctions: a new approach.
In: Econ 370 Econometrics Seminar Series, 2009-09-23, California, United States, USA.
(Submitted)
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 (Other) |
|---|---|
| Official URL: | http://economics.stanford.edu/seminars/ |
| Additional Information: | © 2009 The Author |
| Divisions: | Economics |
| Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
| JEL classification: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods |
| Date Deposited: | 20 Feb 2012 12:34 |
| Last Modified: | 13 Sep 2024 14:06 |
| URI: | http://eprints.lse.ac.uk/id/eprint/41947 |
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