Are there common values in first-price auctions? A tail-index nonparametric test
第一价格拍卖是否存在共同价值？基于尾部指数的非参数检验
We develop a consistent nonparametric test of common values in first-price auctions and apply it to British Columbia Timber Sales data. The test is based on the behavior of the CDF of bids near the reserve price. We show that the curvature of the CDF is drastically different under private values (PV) and common values (CV). We then show that the problem of discriminating between PV and CV is equivalent to estimating the lower tail index of the bid distribution. Our approach…