Quantitative Economics

Journal Of The Econometric Society

Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331

Quantitative Economics: Nov, 2024, Volume 15, Issue 4

Deconvolution from two order statistics

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.


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Supplemental Material

Supplement to "Deconvolution from two order statistics"

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.