We assess empirically the effects of the winner's curse which, in common-value auctions, counsels more conservative bidding as the number of competitors increases. First, we construct an econometric model of an auction in which bidders' preferences have both common- and private-value components,...

We develop a new estimation methodology for dynamic optimization models with unobserved shocks and deterministic accumulation of the observed state variables. Investment models are an important example of such models. Our pairwise-difference approach exploits two common features of these models:...

We assess empirically the effects of the winner's curse which, in common-value auctions, counsels more conservative bidding as the number of competitors increases. First, we construct an econometric model of an auction in which bidders' preferences have both common- and private-value components,...

We study the problem of parameter inference in (possibly non-linear and non-smooth) econometric models when the data are measured with error. We allow for arbitrary correlation between the true variables and the measurement errors. To solve the identification problem, we require the existence of...

We study the problem of parameter inference in (possibly non-linear and non-smooth) econometric models when the data are measured with error. We allow for "arbitrary" correlation between the true variables and the measurement errors. To solve the identification problem, we require the existence...