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Learning seller valuations in auctions


[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.