[manuscript] Non-parametric Estimation of Secret Reserve Prices in Auctions
[published version] Currently under review
[working version] SSRN
This letter proposes an estimation method for the distribution of unobservable secret seller reserve prices in auctions. Within the symmetric independent private values model, I construct a two stage estimate via the semi-nonparametric quasi maximum likelihood density estimator developed by Gallant and Nychka (1987). I then use Monte Carlo experiments to demonstrate its performance in relatively small samples. A discussion on applying this method to structurally similar identification problems is provided.
