Structural Estimation of the Affiliated Private Value Auction Model
研究第一价格密封拍卖中关联私人价值模型的结构估计，提出非参数识别方法和两步估计程序，并用模拟数据展示其在小样本中的良好表现。
We consider the structural estimation of the affiliated private value (APV) model in first-price sealed-bid auctions. The model allows for bidders' individual efficiencies and opportunity costs, while permitting dependence among bidders' private values through affiliation. We establish the nonparametric identification of the APV model, characterize its theoretical restrictions, and propose a computationally convenient and consistent two-step nonparametric estimation procedure for estimating the joint private value distribution from observed bids. Using simulated bid data, we provide a step-by-step guide on how to implement our procedure and show the good behavior of our estimator in small samples.