Structural estimation of the affiliated private value auction model

Tong Li, Isabelle Perrigne, Quang Vuong

    Research output: Contribution to journalArticle

    Abstract

    We consider the structural estimation of the affiliated private value (APV) model in first-price sealed-bid auctions. The model allows for bidders' individual efficiencies and opportunity costs, while permitting dependence among bidders' private values through affiliation. We establish the nonparametric identification of the APV model, characterize its theoretical restrictions, and propose a computationally convenient and consistent two-step nonparametric estimation procedure for estimating the joint private value distribution from observed bids. Using simulated bid data, we provide a step-by-step guide on how to implement our procedure and show the good behavior of our estimator in small samples.

    Original languageEnglish (US)
    Pages (from-to)171-193
    Number of pages23
    JournalRAND Journal of Economics
    Volume33
    Issue number2
    DOIs
    StatePublished - 2002

    ASJC Scopus subject areas

    • Economics and Econometrics

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