A new approach to identifying generalized competing risks models with application to second-price auctions

Komarova, Tatiana

doi:10.3982/qe111

Cited by 10 publications

(7 citation statements)

References 20 publications

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“…She provides several identification arguments for asymmetric correlated private values ascending auctions, requiring that bidder identities or types be observable. Athey and Haile (2002) and Komarova (2013b) provide identification arguments for asymmetric IPV ascending auctions. Our results are the first identification results of which we are aware for ascending auctions with bidder asymmetries and unobserved bidder identities or types.…”

Section: Introductionmentioning

confidence: 99%

Ascending auctions with bidder asymmetries

Coey

Larsen²,

Sweeney

et al. 2017

Quantitative Economics

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We present a partial identification approach for ascending auctions with bidder asymmetries, where bidders' asymmetric types may be unobservable to the econometrician. Our approach yields sharp bounds and builds on and generalizes other recent bounds approaches for correlated private values ascending auctions. When bidder identities are observable, our approach yields tighter bounds than previous approaches that ignore asymmetry, demonstrating that bidder asymmetries can function as an aid rather than a hindrance to identification. We present a nonparametric estimation and inference approach relying on our identification argument and apply it to data from U.S. timber auctions, finding that bounds on optimal reserve prices and other objects of interest are noticeably tighter when exploiting bidder asymmetries.

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Section: Introductionmentioning

confidence: 99%

Ascending auctions with bidder asymmetries

Coey

Larsen²,

Sweeney

et al. 2017

Quantitative Economics

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“…The 1-out-of-n system only discloses the marginal distribution of the maximum of all the components' lifetimes, so the individual marginal distributions cannot be identified. For k-out-of-n systems with 2 ≤ k ≤ n, applying the same techniques as the ones for 2-out-of-n systems in Komarova (2013), one can establish the following identifiability result.…”

Section: Since the Value Of The Density Of Minmentioning

confidence: 99%

“…The main requirements for such an extension would be the rank condition on the incidence matrix of the coherent system as in Meilijson (1981) together with some convergence and local integrability conditions on some functions of primitives (or, equivalently, of observables) as discussed in section 4 in Komarova (2013).…”

Section: Introductionmentioning

confidence: 99%

Extremum sieve estimation in k-out-of-n systems

Komarova

2016

Communications in Statistics - Theory and Methods

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The paper considers nonparametric estimation of absolutely continuous distribution functions of lifetimes of non-identical components in k-out-of-n systems from the observed "autopsy" data. In economics, ascending "button" or "clock" auctions with n heterogeneous bidders present 2-out-of-n systems. Classical competing risks models are examples of n-out-of-n systems. Under weak conditions on the underlying distributions the estimation problem is shown to be well-posed and the suggested extremum sieve estimator is proven to be consistent. The paper illustrates the suggested estimation method by using sieve spaces of Bernstein polynomials which allow an easy implementation of constraints on the monotonicity of estimated distribution functions.

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“…There are, however, some works devoted to the nonparametric approach for ascending auctions with asymmetric bidders. A theoretical nonparametric identification result with a finite number of asymmetric types, due to Komarova (2013a), shows that the asymmetric valuation distributions can be recovered from the winning bid and the identity of the winner under IPV, see also Athey and Haile (2002). have proposed a related semi-nonparametric estimation procedure.…”

Section: Introductionmentioning

confidence: 99%

Semiparametric Quantile Models for Ascending Auctions With Asymmetric Bidders

Bhattacharya

Gimenes

Guerre

2021

Journal of Business & Economic Statistics

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The paper proposes a parsimonious and flexible semiparametric quantile regression specification for asymmetric bidders within the independent private value framework. Asymmetry is parameterized using powers of a parent private value distribution, which is generated by a quantile regression specification. As noted in Cantillon (2008), this covers and extends models used for efficient collusion, joint bidding and mergers among homogeneous bidders.The specification can be estimated for ascending auctions using the winning bids and the winner's identity. The estimation is in two stage. The asymmetry parameters are estimated from the winner's identity using a simple maximum likelihood procedure. The parent quantile regression specification can be estimated using simple modifications of Gimenes (2017). Specification testing procedures are also considered. A timber application reveals that weaker bidders have 30% less chances to win the auction than stronger ones. It is also found that increasing participation in an asymmetric ascending auction may not be as beneficial as using an optimal reserve price as would have been expected from a result of Bulow and Klemperer (1996) valid under symmetry.

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A new approach to identifying generalized competing risks models with application to second-price auctions

Cited by 10 publications

References 20 publications

Ascending auctions with bidder asymmetries

Ascending auctions with bidder asymmetries

Extremum sieve estimation in k-out-of-n systems

Semiparametric Quantile Models for Ascending Auctions With Asymmetric Bidders

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