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A simple test for moment inequality models with an application to English auctions

Author

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  • Aradillas-López, Andrés
  • Gandhi, Amit
  • Quint, Daniel
Abstract
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.

Suggested Citation

  • Aradillas-López, Andrés & Gandhi, Amit & Quint, Daniel, 2016. "A simple test for moment inequality models with an application to English auctions," Journal of Econometrics, Elsevier, vol. 194(1), pages 96-115.
    • Handle: RePEc:eee:econom:v:194:y:2016:i:1:p:96-115
    DOI: 10.1016/j.jeconom.2016.04.006
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    References listed on IDEAS

    as
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    Cited by:

    1. Yu Zhu, 2020. "Inference in nonparametric/semiparametric moment equality models with shape restrictions," Quantitative Economics, Econometric Society, vol. 11(2), pages 609-636, May.
    2. Hsu, Yu-Chin & Shen, Shu, 2019. "Testing treatment effect heterogeneity in regression discontinuity designs," Journal of Econometrics, Elsevier, vol. 208(2), pages 468-486.
    3. Aradillas-López, Andrés, 2019. "Nonparametric tests for strategic interaction effects with rationalizability," Economics Letters, Elsevier, vol. 181(C), pages 149-153.
    4. Cristián Hernández & Daniel Quint & Christopher Turansick, 2020. "Estimation in English auctions with unobserved heterogeneity," RAND Journal of Economics, RAND Corporation, vol. 51(3), pages 868-904, September.

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    More about this item

    Keywords

    Conditional moment inequalities; Testing auctions; Independent private values;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C57 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Econometrics of Games and Auctions

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