Quang Vuong

New York University

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i-10 index

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Co-Authors

Isabelle Perrigne

Rice University

Jean‐Jacques Laffont

University of Southern California

Gaurab Aryal

Boston University

Haiqing Xu

The University of Texas at Austin

Farid Gasmi

Toulouse School of Economics

Emmanuel Guerre

Queen Mary University of London

Qian Feng

East China University of Science and Technology

Maria F. Gabrielli

Universidad del Desarrollo

Paul A. Bjorn

California Institute of Technology

M. B. Bouissou

Université Toulouse-I-Capitole

Cooperative Institutions

Toulouse School of Economics

Université Toulouse-I-Capitole

University of Southern California

National Bureau of Economic Research

Laboratoire d'études rurales

California Institute of Technology

Institut d'Économie Industrielle

Université de Toulouse

Institut National de la Recherche Agronomique

Pennsylvania State University

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Nonparametric Identification of Risk Aversion in First-Price Auctions Under Exclusion Restrictions

Econometrica (2009)

Emmanuel Guerre Isabelle Perrigne Quang Vuong

This paper studies the nonparametric identification of the first-price auction model with risk averse bidders within the private value paradigm. First, we show that the benchmark model is nonindentified from observed bids. We also derive the restrictions imposed by the model on observables and show that these restrictions are weak. Second, we establish the nonparametric identification of the bidders' utility function under exclusion restrictions. Our primary exclusion restriction takes the form of an exogenous bidders' participation, leading to a latent distribution of private values that is independent of the number of bidders. The key idea is to exploit the property that the bid distribution varies with the number of bidders while the private value distribution does not. We then extend these results to endogenous bidders' participation when the exclusion restriction takes the form of instruments that do not affect the bidders' private value distribution. Though derived for a benchmark model, our results extend to more general cases such as a binding reserve price, affiliated private values, and asymmetric bidders. Last, possible estimation methods are proposed.

Identification

Benchmark (surveying)

Structural estimation

Risk Aversion

Value (mathematics)

10.3982/ecta7028

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Citations (171)

Two-Stage Conditional Maximum Likelihood Estimation of Econometric Models

RePEc: Research Papers in Economics (1984)

Quang Vuong

Recent works on Maximum Likelihood (ML) estimation have focused on the behavior of the ML estimator when the model is possibly misspecified [Gourieroux, Monfort and Trognon (1984), Vuong (1983), White (1982, 1983a, b)]. This paper studies a general method, called two-stage conditional maximum likelihood (2SCML) estimation, for generating consistent estimates. In particular, asymptotic properties of 2SCML estimators are derived under correct and incorrect specification of the statistical model. Necessary and sufficient conditions for asymptotic efficiency of 2SCML estimators for all or some of the parameters are obtained. It is also argued that 2SCML estimators can readily be used to construct tests for exogeneity and model misspecification of the Hausman (1978) and White (1982) type. Examples are given to illustrate the applicability of the method. These include the linear simultaneous equation model, the simultaneous probit model and the simple Tobit model.

Endogeneity

Tobit model

Econometric model

Probit

Simultaneous equations model

Conditional expectation

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Citations (15)

Estimation of heterogeneous individual treatment effects with endogenous treatments^*

Figshare (2018)

Qian Feng Quang Vuong Haiqing Xu

This paper estimates individual treatment effects (ITE) and its probability distribution in a triangular model with binary–valued endogenous treatments. Our estimation procedure takes two steps. First, we estimate the counterfactual outcome and hence the ITE for every observational unit in the sample. Second, we estimate the ITE density function of the whole population. Our estimation method does not suffer from the ill–posed inverse problem associated with inverting a non–linear functional. Asymptotic properties of the proposed method are established. We study its finite sample properties in Monte Carlo experiments. We also illustrate our approach with an empirical application assessing the effects of 401(k) retirement programs on personal savings. Our results show that there exists a small but statistically significant proportion of individuals who experience negative effects, although the majority of ITEs is positive.

10.6084/m9.figshare.7458803.v1

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Citations (0)

Limited information estimators and exogeneity tests for simultaneous probit models

Journal of Econometrics (1988)

Douglas Rivers Quang Vuong

Endogeneity

Probit

Multivariate probit model

10.1016/0304-4076(88)90063-2

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Citations (1,689)

NONPARAMETRIC SIGNIFICANCE TESTING

Econometric Theory (2000)

Pascal Lavergne Quang Vuong

A procedure for testing the significance of a subset of explanatory variables in a nonparametric regression is proposed. Our test statistic uses the kernel method. Under the null hypothesis of no effect of the variables under test, we show that our test statistic has an nh p 2 /2 standard normal limiting distribution, where p 2 is the dimension of the complete set of regressors. Our test is one-sided, consistent against all alternatives and detects local alternatives approaching the null at rate slower than n −1/2 h − p 2 /4 . Our Monte-Carlo experiments indicate that it outperforms the test proposed by Fan and Li (1996, Econometrica 64, 865–890).

Statistic

Kernel (algebra)

Null (SQL)

10.1017/s0266466600164059

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Citations (90)

Semiparametric Estimation of First-Price Auction Models

SSRN Electronic Journal (2014)

Gaurab Aryal Maria F. Gabrielli Quang Vuong

In this paper we propose a two-step semiparametric procedure to estimate first-price auction models. In the first-step, we estimate the bid density and distribution using local polynomial method, and recover a sample of (pseudo) private values. In the second-step, we apply the method of moments to the sample of private values to estimate a finite set of parameters that characterize the density of private values. We show that our estimator attains the parametric consistency rate and is asymptotically normal. And we also determine its asymptotic variance. The advantage of our approach is that it can accommodate multiple auction covariates. Monte Carlo exercises show that the estimator performs well both in estimating the value density and in choosing the revenue maximizing reserve price.

Semiparametric model

10.2139/ssrn.2465394

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Citations (2)

Nonidentification of Insurance Models with Probability of Accidents

RePEc: Research Papers in Economics (2011)

Gaurab Aryal Isabelle Perrigne Quang Vuong

In contrast to Aryal, Perrigne and Vuong (2009), this note shows that in an insurance model with multidimensional screening when only information on whether the insuree has been involved in some accident is available, the joint distribution of risk and risk aversion is not identified.

Risk Aversion

Accident (philosophy)

Source

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Citations (3)

Econometric Modeling of a Stackelberg Game with an Application to Labor Force Participation

RePEc: Research Papers in Economics (1985)

Paul A. Bjorn Quang Vuong

Following Bjorn and Vuong (1984), a model for dummy endogenous variables is derived from a game theoretic framework where the equilibrium concept used is that of Stackelberg. A distinctive feature of our model is that it contains as a special case the usual recursive model for discrete endogenous variables [see e.g., Maddala and Lee (1976)]. A structural interpretation of this latter model can then be given in terms of a Stackelberg game in which the leader is indifferent to the follower's action. Finally, the model is applied to a study of husband/wife labor force participation.

Stackelberg competition

Econometric model

Feature (linguistics)

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Citations (14)

Probability Feedback in a Recursive System of Probability Models

RePEc: Research Papers in Economics (1982)

Quang Vuong

This paper presents a general model for qualitative endogenous variables that is defined by a recursive system of conditional probability models in which the probabilities of some outcomes may depend on the probabilities of posterior outcomes. The model is related to, but conceptually different from C. D. Mallar's (1977) simultaneous probability model. It has as special cases the multivariate logit model (M. Nerlove and S. J. Press (1973, 1976)) and the constrained nested logit model (D. McFadden (1981)). The model can also be used to analyze outcomes of some game situations. Two examples are in particular considered: a game against Nature and a Stackelberg game under uncertainty. Identification of the structural parameters in the first example is seen to be related to the classical problem of stochastic revealed preference as studied by M. K. Richter and L. Shapiro (1978).

Conditional probability

Stackelberg competition

Mixed logit

Identification

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Citations (1)

An Econometric Analysis of Some Duopolistic Games in Prices and Advertising: University of Southern California

Quang Vuong Farid Gasmi

Econometric analysis

Econometric model

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Citations (5)