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Nonparametric Identification of First-Price Auction with Unobserved Competition




Speaker: Prof Emmanuel Guerre, Queen Mary University of London

This seminar is part of the Department of Economics Seminar Series. The seminars are open to all - no registration necessary. If you would like to receive email notification of the Department’s seminars, please send your request by emailing Kim Edmunds.


We consider nonparametric identification of independent private value first price auction models, in which the analyst only observes winning bids. Our benchmark model assumes an exogenous number of (active) bidders N. We show that, if the bidders observe N, the resulting discontinuities in the winning bid density can be used to identify the distribution of N. The winning bid distribution above the last interior discontinuity identifies the top of the value distribution. An iterative process allows for its complete identification.

A second class of models considers endogenously-determined N, due to a reserve price or an entry cost. If bidders observe N, these models are also identifiable using winning bid discontinuities. If bidders cannot observe N, however, identification is not possible unless the analyst observes an instrument which affects the reserve price or entry cost. Lastly, we derive some testable restrictions for whether bidders observe the number of competitors and whether endogenous participation is due to a reserve price or entry cost.

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When and where

3.00pm - 4.30pmWednesday 10th October 2018

D427 Social Sciences Building City, University of London St John Street London EC1V 0HB United Kingdom