In this paper, I study the nonparametric identification and estimation of multi-unit all-pay auctions of incomplete information. First, I consider the setting where multiple goods are allocated among several risk-neutral participants with independent private values (IPV). I prove the nonparametric identification of the model and derive two different consistent estimators of the distribution of bidder valuations. The first estimator is based on the classical structural approach similar to that of Guerre et al. (Econometrica 68(3):525-574, 2000). The second estimator, instead, allows estimation of the quantile function of the bidders' valuations directly using the quantile density of the bids. Monte Carlo simulations show good small sample property under various assumptions of the number of players and goods. Next, I consider a variety of model extensions: the case of affiliated private values (APV), asymmetric players, the addition of random noise, as well as the case of risk-averse bidders. In contrast to all other scenarios, I prove that the general model with risk-averse bidders is not identified even in the semi-parametric case in which utility function is restricted to belong to the class of functions with constant absolute risk aversion (CARA). On the other hand, I show that the model with risk aversion can be identified if the distribution of valuations is restricted to having fixed support.

Nonparametric identification and estimation of all-pay auction and contest models

Shakhgildyan, Ksenia
In corso di stampa

Abstract

In this paper, I study the nonparametric identification and estimation of multi-unit all-pay auctions of incomplete information. First, I consider the setting where multiple goods are allocated among several risk-neutral participants with independent private values (IPV). I prove the nonparametric identification of the model and derive two different consistent estimators of the distribution of bidder valuations. The first estimator is based on the classical structural approach similar to that of Guerre et al. (Econometrica 68(3):525-574, 2000). The second estimator, instead, allows estimation of the quantile function of the bidders' valuations directly using the quantile density of the bids. Monte Carlo simulations show good small sample property under various assumptions of the number of players and goods. Next, I consider a variety of model extensions: the case of affiliated private values (APV), asymmetric players, the addition of random noise, as well as the case of risk-averse bidders. In contrast to all other scenarios, I prove that the general model with risk-averse bidders is not identified even in the semi-parametric case in which utility function is restricted to belong to the class of functions with constant absolute risk aversion (CARA). On the other hand, I show that the model with risk aversion can be identified if the distribution of valuations is restricted to having fixed support.
2022
Shakhgildyan, Ksenia
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/4053378
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 0
  • ???jsp.display-item.citation.isi??? 0
social impact