The Econometrics of Auctions with asymmetric anonymous bidders

Laurent Lamy (1, 2)

1 PSE - Paris-Jourdan Sciences Economiques
2 PSE - Paris School of Economics

We consider standard auction models when bidders' identities are not-or are only partially-observed by the econometrician. We first adapt the definition of identifiability to a framework with anonymous bids and explore the extent to which anonymity reduces the possibility of identifying private value auction models. Second, in the asymmetric independent private value model which is nonparametrically identified, we generalize Guerre, Perrigne and Vuong's estimation procedure [Optimal nonparametric estimation of first-price auctions, Econometrica 68 (2000) 525-574] and consider the asymptotic properties of our multi-step kernel-based estimator. Monte Carlo simulations illustrate the practical relevance of our estimation procedure in small data sets.

Mots clés: Auctions; Nonparametric identification; Nonparametric estimation; Unobserved heterogeneity; Anonymous bids; Uniform convergence rate

Domaines: Economies et finances

Laurent Lamy. The Econometrics of Auctions with asymmetric anonymous bidders. Econometrics, 2012, 167 (1), pp.113-132. ⟨10.1016/j.jeconom.2011.10.007⟩. ⟨halshs-00754606⟩