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A simple test for moment inequality models with an application to English auctions. (English) Zbl 1431.62583

Summary: 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 \(L_p\)-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.

MSC:

62P20 Applications of statistics to economics
62G10 Nonparametric hypothesis testing
62G20 Asymptotic properties of nonparametric inference
91B26 Auctions, bargaining, bidding and selling, and other market models
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