Estimation of Exchangeable Distribution with Order Statistics: Application to First-Price Auctions

44 Pages Posted: 23 Aug 2019 Last revised: 11 Jun 2020

See all articles by Hayato Nakanishi

Hayato Nakanishi

Kanagawa University - Faculty of Economics

Date Written: June 11, 2020

Abstract

This study examines the estimation of the exchangeable joint distribution when the highest (lowest) and another order statistics are observable. The estimator would be appropriate for the estimation of the valuation distribution of auctions and "order-biased" sampling, such as school student achievement investigations, when the sampling probability is not completely captured by the observed covariates. We present our method in conjunction with an application for a first-price sealed-bid auction with affiliation. The results potentially extend the existing non-parametric identification result for first-price sealed-bid auctions with symmetric affiliation.

Keywords: Order Statistics, Semi-Parametric Estimation, Exchangeable Distribution, First-Price Auction, Copula

JEL Classification: C40, C57

Suggested Citation

Nakanishi, Hayato, Estimation of Exchangeable Distribution with Order Statistics: Application to First-Price Auctions (June 11, 2020). Available at SSRN: https://ssrn.com/abstract=3440360 or http://dx.doi.org/10.2139/ssrn.3440360

Hayato Nakanishi (Contact Author)

Kanagawa University - Faculty of Economics ( email )

Kanagawa-ku, Yokohama City 221-8686
JAPAN

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