Research seminar by Tatiana Komarova (LSE): "Nonparametric Identification in Asymmetric Second-Price Auctions: A New Approach"
March 1, at 4.30 pm International College of Economics and Finance and International Laboratory of Financial Economics held Research seminar.
Speaker: Tatiana Komarova (LSE)
Theme: "Nonparametric Identification in Asymmetric Second-Price Auctions: A New Approach"
Venue: Pokrovski Bulvar, 11, Room Zh-822
Abstact: This paper proposes an approach to proving nonparametric identification for distributions of bidders’ values in asymmetric second-price auctions. I consider the case when bidders have independent private values and the only available data pertain to the winner’s identity and the transaction price. My proof of identification is constructive and is based on establishing the existence and uniqueness of a solution to the system of non-linear differential equations that describes relationships betwee unknown distribution functions and observable functions. The proof is conducted in two logical steps. First, I prove the existence and uniqueness of a local solution. Then I describe a method that extends this local solution to the whole support. This paper delivers other interesting results. I demonstrate how this approach can be applied to obtain identification in auctions with stochastic number of bidders. Furthermore, I show that my results can be extended to generalized competing risks models.