Identification of first-price auctions with non-separable unobserved heterogeneity
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; 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. © 2013 Elsevier B.V. All rights reserved.
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- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics
Citation
Published In
DOI
ISSN
Publication Date
Volume
Issue
Start / End Page
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics