A NONPARAMETRIC TEST FOR COMPARING VALUATION DISTRIBUTIONS IN FIRST-PRICE AUCTIONS

• 成果类型: Article
• 署名作者: Liu, Nianqing; Luo, Yao
• 署名单位: Shanghai University of Finance & Economics; University of Toronto
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12238
• 发表日期: 2017
• 页码: 857-888
• 关键词: service timber sales; sealed-bid auctions; unobserved heterogeneity; ascending auctions; risk-aversion; identification; models; entry; inference; affiliation

摘要

This article proposes a nonparametric test for comparing valuation distributions in first-price auctions. Our test is motivated by the fact that two valuation distributions are the same if and only if their integrated quantile functions are the same. Our method avoids estimating unobserved valuations and does not require smooth estimation of bid density. We show that our test is consistent against all fixed alternatives and has nontrivial power against root-N local alternatives. Monte Carlo experiments show that our test performs well in finite samples. We implement our method on data from U.S. Forest Service timber auctions.