Estimating First-Price Auctions with an Unknown Number of Bidders : A Misclassification Approach ∗

@inproceedings{Hu2007EstimatingFA,
  title={Estimating First-Price Auctions with an Unknown Number of Bidders : A Misclassification Approach ∗},
  author={Yingyao Hu and Matthew Shum},
  year={2007}
}
In this paper, we consider nonparametric identification and estimation of first-price auction models when N∗, the number of potential bidders, is unknown to the researcher, but observed by bidders. Exploiting results from the recent econometric literature on models with misclassification error, we develop a nonparametric procedure for recovering the distribution of bids conditional on the unknown N ∗. Monte Carlo results illustrate that the procedure works well in practice. We present… CONTINUE READING
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