Abstract
This letter proposes an estimation method for the distribution of unobservable secret seller reserve prices in auctions. Within the symmetric affiliated private values model, I construct a density estimator using the semi-nonparametric quasi maximum likelihood approach 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. • This letter offers an approach to identify the distribution of secret reserve prices. • The model allows for affiliated private values among buyers and sellers. • Input data include the auction’s paying bid and whether the item sold at said bid. • A semi-nonparametric estimator identifies the distribution of secret reserve prices. • This method works well in relatively small samples ( ∼ 100 ).
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