Structural Estimation of the Affiliated Private Value Auction Model (1999)
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BibTeX
@MISC{Li99structuralestimation,
author = {Tong Li and Isabelle Perrigne and Quang Vuong},
title = {Structural Estimation of the Affiliated Private Value Auction Model },
year = {1999}
}
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Abstract
This paper considers 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 permiting 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.
