Quantitative Economics
Journal Of The Econometric Society
Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331
Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331
Quantitative Economics: Nov, 2024, Volume 15, Issue 4
https://doi.org/10.3982/QE2077
p. 1065-1106
JoonHwan Cho|Yao Luo|Ruli Xiao
Economic data are often contaminated by measurement errors and truncated by ranking. This paper shows that the classical measurement error model with independent and additive measurement errors is identified nonparametrically using only two order statistics of repeated measurements. The identification result confirms a hypothesis by Athey and Haile (2002) for a symmetric ascending auction model with unobserved heterogeneity. Extensions allow for heterogeneous measurement errors, broadening the applicability to additional empirical settings, including asymmetric auctions and wage offer models. We adapt an existing simulated sieve estimator and illustrate its performance in finite samples.
JoonHwan Cho, Yao Luo, and Ruli Xiao
The replication package for this paper is available at https://doi.org/10.5281/zenodo.12602953. The Journal checked the data and codes included in the package for their ability to reproduce the results in the paper and approved online appendices.