Identification of auction models using order statistics

DOI10.1016/J.JECONOM.2023.04.003MaRDI QIDQ6133350zbMATH OpenOpenAlexFDO

Authors Yao Luo, Ruli Xiao

Publication date 18 August 2023

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2205.12917

zbMATH Keywords

finite mixturemultidimensional unobserved heterogeneityconsecutive order statisticsunobserved competition

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Abstract: Auction data often contain information on only the most competitive bids as opposed to all bids. The usual measurement error approaches to unobserved heterogeneity are inapplicable due to dependence among order statistics. We bridge this gap by providing a set of positive identification results. First, we show that symmetric auctions with discrete unobserved heterogeneity are identifiable using two consecutive order statistics and an instrument. Second, we extend the results to ascending auctions with unknown competition and unobserved heterogeneity.

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Cited in

(3)

• Deconvolution from two order statistics
• Identification of Standard Auction Models
• Order statistics approaches to unobserved heterogeneity in auctions

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