In this paper, we propose a constrained maximum likelihood estimator for misclassification models, by formulating the estimation as an MPEC (Mathematical Programming with Equilibrium Constraints) problem. Our approach improves the numerical accuracy and avoids the singularity problem. Monte...

I propose a simple method to nonparametrically estimate the utility function in first-price, sealed-bid auctions when bidders’ participation is exogenous. Using a pair of bid densities, each for a different number of bidders, I establish a contraction mapping that converges to the true utility...

A linkage to reconcile measurable utility derived from intensity comparisons or from probability mixtures is provided in this note. This brief note is in honor of Lloyd Shapley whose relatively unknown seminal paper on measurable utility from axioms involving the fineness of perception offered a...

We derive conditions under which structural econometric models that rely on numerical computation of equilibria produce consistent and asymptotically normal parameter estimates. The conditions are weaker than those required for the application of the implicit function theory.

Rodrigues-Neto (2009) has shown that a given specification of posteriors of different players in an incomplete-information setting is compatible with a common prior if and only if the posteriors satisfy the so-called cycle equations. This note shows that, if, for any player, any element of the...