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Consistent Specification Testing With Nuisance Parameters Present Only Under The Alternative
, 1995
"... . The nonparametric and the nuisance parameter approaches to consistently testing statistical models are both attempts to estimate topological measures of distance between a parametric and a nonparametric fit, and neither dominates in experiments. This topological unification allows us to greatly ex ..."
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Cited by 66 (11 self)
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. The nonparametric and the nuisance parameter approaches to consistently testing statistical models are both attempts to estimate topological measures of distance between a parametric and a nonparametric fit, and neither dominates in experiments. This topological unification allows us to greatly extend the nuisance parameter approach. How and why the nuisance parameter approach works and how it can be extended bears closely on recent developments in artificial neural networks. Statistical content is provided by viewing specification tests with nuisance parameters as tests of hypotheses about Banachvalued random elements and applying the Banach Central Limit Theorem and Law of Iterated Logarithm, leading to simple procedures that can be used as a guide to when computationally more elaborate procedures may be warranted. 1. Introduction In testing whether or not a parametric statistical model is correctly specified, there are a number of apparently distinct approaches one might take. T...
Identification and Estimation in Highway Procurement Auctions under Unobserved Auction Heterogeneity
, 2004
"... The accurate assessment of participants’ private information may critically affect policy recommendations in auction markets. In many auction environments estimation of the private information distribution may be complicated by the presence of unobserved heterogeneity. This problem arises when some ..."
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Cited by 38 (1 self)
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The accurate assessment of participants’ private information may critically affect policy recommendations in auction markets. In many auction environments estimation of the private information distribution may be complicated by the presence of unobserved heterogeneity. This problem arises when some of the information available to all bidders at the time of the auction is subsequently not observed by the researcher. This paper develops a semiparametric method that allows a researcher to uncover the distribution of bidders’ private information in a standard FirstPrice procurement auction when unobserved auction heterogeneity is present. Sufficient identification conditions are derived and a twostage estimation procedure to recover bidders’ private information is developed. The procedure is applied to data from Michigan highway procurement auctions and compared to the estimation procedures traditionally used in the context of highway procurement auctions. The estimation results suggest that ignoring unobserved auction heterogeneity is likely to result in substantially biased estimates and may lead to erroneous policy recommendations.
Structural Estimation of the Affiliated Private Value Auction Model
, 1999
"... This paper considers the structural estimation of the affiliated private value (APV) model in firstprice sealedbid auctions. The model allows for bidders' individual efficiencies and opportunity costs, while permiting dependence among bidders' private values through affiliation. We estab ..."
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Cited by 21 (1 self)
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This paper considers the structural estimation of the affiliated private value (APV) model in firstprice sealedbid auctions. The model allows for bidders' individual efficiencies and opportunity costs, while permiting dependence among bidders' private values through affiliation. We establish the nonparametric identification of the APV model, characterize its theoretical restrictions, and propose a computationally convenient and consistent twostep nonparametric estimation procedure for estimating the joint private value distribution from observed bids. Using simulated bid data we provide a step by step guide on how to implement our procedure and show the good behavior of our estimator in small samples.
Asymmetry in FirstPrice Auctions with Affiliated Private Values
 Journal of Applied Econometrics
, 2001
"... The existence of collusion and heterogeneity across firms is known to introduce some asymmetry in bidding games. A major difficulty when considering asymmetric auctions is that the equilibrium strategies are solutions of an intractable system of differential equations. This paper proposes a simple m ..."
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Cited by 17 (2 self)
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The existence of collusion and heterogeneity across firms is known to introduce some asymmetry in bidding games. A major difficulty when considering asymmetric auctions is that the equilibrium strategies are solutions of an intractable system of differential equations. This paper proposes a simple method for estimating asymmetric firstprice auctions within the affiliated private values (APV) paradigm. Specifically, we consider two types of bidders and derive the differential equations characterizing the Bayesian Nash equilibrium strategies. We show that these differential equations can be rewritten using the distribution of observed bids.
Statistical problems involving permutations with restricted positions
 IMS Lecture Notes Monogr. Ser
, 1999
"... The rich world of permutation tests can be supplemented by a variety of applications where only some permutations are permitted. We consider two examples: testing independence with truncated data and testing extrasensory perception with feedback. We review relevant literature on permanents, rook po ..."
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Cited by 15 (3 self)
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The rich world of permutation tests can be supplemented by a variety of applications where only some permutations are permitted. We consider two examples: testing independence with truncated data and testing extrasensory perception with feedback. We review relevant literature on permanents, rook polynomials and complexity. The statistical applications call for new limit theorems. We prove a few of these and o er an approach to the rest via Stein's method. Tools from the proof of van der Waerden's permanent conjecture are applied to prove a natural monotonicity conjecture. 1
A Nonparametric Test Of Serial Independence For Time Series And Residuals
"... : This paper presents nonparametric test of independence that can be use to test the independence of p random vectors, serial independence for time series or residuals data. These tests are shown to generalize the classical portmanteau statistics. Applications to both time series and regression resi ..."
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Cited by 13 (3 self)
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: This paper presents nonparametric test of independence that can be use to test the independence of p random vectors, serial independence for time series or residuals data. These tests are shown to generalize the classical portmanteau statistics. Applications to both time series and regression residuals are discussed. AMS 1990 subject classifications: Primary 62G10, 60F05, Secondary 62E20. Key words and phrases: independence, serial independence, empirical processes, pseudoobservations, residuals, weak convergence, Cram'ervon Mises statistics. 2 Proposed running head: Nonparametric test of independence Galley proofs should be sent to: Kilani Ghoudi D'epartement de math'ematiques et d'informatique Universit'e du Qu'ebec `a TroisRivi`eres Case postale 500 TroisRivi`eres (Qu'ebec) Canada G9A 5H7 tel: 1 (819) 376 5170 ex. 3814 fax: 1 (819) 376 5185 email: ghoudi@uqtr.uquebec.ca The final manuscript will be submitted electronically in LaTeX format. 3 1. Introduction Testing f...
Empirical process of the squared residuals of an ARCH sequence
 The Annals of Statistics
, 2001
"... this paper we consider the ARCH(p) model defined by the equations y t = oe t " t # oe ..."
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Cited by 13 (5 self)
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this paper we consider the ARCH(p) model defined by the equations y t = oe t " t # oe
Timber Sale Auctions with a Random Reserve Price
 REVIEW OF ECONOMICS AND STATISTICS
, 1999
"... This paper analyses firstprice sealedbid auctions of standing timber organized by the FrenchForest Service, Office National des Forests #ONF#. A particular feature of these auctions is that they are held with a random reserve price. We consider an auction model with a random reserve price withi ..."
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Cited by 10 (0 self)
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This paper analyses firstprice sealedbid auctions of standing timber organized by the FrenchForest Service, Office National des Forests #ONF#. A particular feature of these auctions is that they are held with a random reserve price. We consider an auction model with a random reserve price within the independent private value paradigm. After establishing the identification of the model, we estimate the underlying bidders' private values distribution by using a simple twostep nonparametric procedure. This procedure allows the computation of the winners' informational rents as well as the optimal reserve price. We then simulate a firstprice sealedbid auction with the optimal announced reserve price. Empirical results show that the optimal reserve price allows the ONF to extract more of bidders' willingnessestopay. Moreover, our results show that both sales and profits for the ONF would signi#cantly increase though less timber would be sold through these auctions. In particula...