Structural Estimation of the Affiliated Private Value Auction Model

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...

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Bibliographic Details
Published in:The Rand journal of economics 2002-07, Vol.33 (2), p.171-193
Main Authors: Li, Tong, Perrigne, Isabelle, Vuong, Quang
Format: Article
Language:English
Subjects:
Auctions
Bidding
Bids
Confidence interval
Consistent estimators
Density estimation
Economic models
Economic research
Economic value
Economics
Estimating techniques
Estimation
Estimators
Experiment design
Modeling
Nash equilibrium
Studies
Value
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Summary: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.
ISSN:0741-6261
1756-2171
DOI:10.2307/3087429