This paper studies the estimation of a class of copula-based semiparametric stationary Markov models. These models are characterized by nonparametric invariant (or marginal) distributions and parametric copula functions that capture the temporal dependence of the processes; the implied...

We develop tests for the presence of common value components in bidders' valuations at symmetric first-price sealed bid auctions. These tests are fully nonparametric and require observations only of the bids submitted at each auction. The main principle of the test relies on the observation that...