Identification of auction models using order statistics

DOI10.1016/J.JECONOM.2023.04.003arXiv2205.12917OpenAlexW4381059766MaRDI QIDQ6133350FDOQ6133350

Yao Luo, Ruli Xiao

Publication date: 18 August 2023

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

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.

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)

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Cited In (3)

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

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