A simple test for moment inequality models with an application to English auctions

Andrés Aradillas-López, Amit Gandhi, Daniel Quint

Research output: Contribution to journalArticlepeer-review

7 Scopus citations

Abstract

Testable predictions of many economic models involve inequality comparisons between transformations of nonparametric functionals. We introduce an econometric test for these types of restrictions based on one-sided Lp-statistics that adapt asymptotically to the contact sets without having to directly estimate them. Monte Carlo experiments show that our test is less conservative than procedures based on least-favorable configurations and has power comparable to other contact-set based procedures. As an application, we test for interdependence of bidders' valuations in ascending auctions. Using USFS timber auction data we reject the Independent Private Values model in favor of a model of correlated private values.

Original languageEnglish (US)
Pages (from-to)96-115
Number of pages20
JournalJournal of Econometrics
Volume194
Issue number1
DOIs
StatePublished - Sep 1 2016

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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