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Journal of Econometric Methods

Ed. by Giacomini, Raffaella / Li, Tong

Mathematical Citation Quotient (MCQ) 2018: 0.06

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How Accurately Do Structural Asymmetric First-Price Auction Estimates Represent True Valuations?

Kirill Chernomaz / Hisayuki YoshimotoORCID iD: https://orcid.org/0000-0001-9514-2711
Published Online: 2019-09-24 | DOI: https://doi.org/10.1515/jem-2017-0001


Structural asymmetric first-price auction estimation methods have provided numerous empirical studies. However, due to the latent nature of underlying valuations, the accuracy of estimates is not feasibly testable with field data, a fact that could inhibit empirical auction market designs and applications based on structural estimates. To assess their accuracy, we provide an analysis of estimates derived from experimental asymmetric auction data, in which researchers observe valuations. We test the null of statistical equivalence between the estimated and true value distributions against the alternative of non-equivalence. When advanced models are used, the Modified Kolmogorov-Smirnov test fails to reject the distributional equivalence, supporting structural asymmetric auction estimations for auction market studies. In addition, recovered efficiencies have plus-minus 2.5 percent precision, compared to the true efficiencies.

This article offers supplementary material which is provided at the end of the article.

Keywords: asymmetric auction; risk aversion; semi/nonparametric estimation; structural auction estimation

JEL Classification: C13; D44


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About the article

Published Online: 2019-09-24

Citation Information: Journal of Econometric Methods, 20170001, ISSN (Online) 2156-6674, DOI: https://doi.org/10.1515/jem-2017-0001.

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