Nathalie Gimenes, Emmanuel Guerre
arXiv 23 Oct 2019 · Econometrics · publishedJournal of Econometrics (2020)
arXiv:1910.10646 · PDF · DOI · OpenAlex · Extracted main text
This paper introduces a version of the interdependent value model of Milgrom and Weber (1982), where the signals are given by an index gathering signal shifters observed by the econometrician and private ones specific to each bidders. The model primitives are shown to be nonparametrically identified from first-price auction bids under a testable mild rank condition. Identification holds for all possible signal values. This allows to consider a wide range of counterfactuals where this is important, as expected revenue in second-price auction. An estimation procedure is briefly discussed.
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arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
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| 1 | Identification and Estimation of Seller Risk Aversion in Ascending Auctions | 0.405 | 1 | 1 |
| 2 | Identification in Auctions with Truncated Transaction Prices | 0.405 | 1 | 1 |