Asymmetry in first‐price auctions with affiliated private values
提出一种简单方法，用于估计存在不对称性的关联私人价值第一价格拍卖模型，通过将微分方程转化为观测投标分布来简化估计，并应用于OCS拍卖中的联合投标分析。
Abstract Collusion and heterogeneity across firms may introduce asymmetry in bidding games. A major difficulty in asymmetric auctions is that the Bayesian Nash equilibrium strategies are solutions of an intractable system of differential equations. We propose a simple method for estimating asymmetric first‐price auctions with affiliated private values. Considering two types of bidders, we show that these differential equations can be rewritten using the observed bid distribution. We establish the identification of the model, characterize its theoretical restrictions, and propose a two‐step non‐parametric estimation procedure for estimating the private value distributions. An empirical analysis of joint bidding in OCS auctions is provided. Copyright © 2003 John Wiley & Sons, Ltd.