TY - JOUR
T1 - A simple test for moment inequality models with an application to English auctions
AU - Aradillas-López, Andrés
AU - Gandhi, Amit
AU - Quint, Daniel
N1 - Funding Information:
We would like to thank an editor, an associate editor and the referees for their helpful comments on earlier versions of this paper. Aradillas-López is grateful to the Human Capital Foundation ( www.hcfoundation.ru , and especially Andrey P. Vavilov, for support of the Department of Economics, the Center for the Study of Auctions, Procurements, and Competition Policy (CAPCP, http://capcp.psu.edu/ ), and the Center for Research in International Financial and Energy Security (CRIFES, http://crifes.psu.edu/ ) at Penn State University.
Publisher Copyright:
© 2016 Elsevier B.V. All rights reserved.
Copyright:
Copyright 2017 Elsevier B.V., All rights reserved.
PY - 2016/9/1
Y1 - 2016/9/1
N2 - 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.
AB - 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.
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U2 - 10.1016/j.jeconom.2016.04.006
DO - 10.1016/j.jeconom.2016.04.006
M3 - Article
AN - SCOPUS:84971012210
SN - 0304-4076
VL - 194
SP - 96
EP - 115
JO - Journal of Econometrics
JF - Journal of Econometrics
IS - 1
ER -
