[ECON20141704]

数量经济学研讨会

报告题目：Nonparametric Identification and Estimation of Double Auctions
报告人：黎晖晖
报告时间：2014年05月15日下午12:30-13:30
报告地点：明德主楼621


内容简介：
    This paper studies the nonparametric identification and estimation of a useful double auction model, namely k-double auction model. First, we establish the nonparametric identification of both buyer and seller’s private value distributions in two bids data scenarios, from the ideal situation where all bids are available to the realistic one where only the transacted bids are available. Specifically, we identify both the buyer and seller’s private value distributions when all of the bids can be observed, while we can only partially identify the private value distributions on the support with positive probability of trade when only the traded bids are available in the data. In particular, we show that the conditional private value distributions given probability of trade being positive can be uniquely identified by the distribution of transacted bids. Second, we estimate the double auctions by a two-step procedure with boundary correction. We then establish the uniform convergence rate of such a boundary corrected estimator of the private value distributions on their whole supports.


关键词： Double auctions, independent private value, nonparametric identification, partial identification, two-stage nonparametric estimation, kernel estimation, boundary correction




报告人简介：
黎晖晖，宾夕法尼亚州立大学经济系博士候选人。他的主要研究方向为计量经济学，博弈论和产业组织理论。


365体育官方唯一入口数量经济教研室 中国人民大学运筹学与数量经济研究所 2014年05月



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