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How Accurately Do Structural Asymmetric First-Price Auction Estimates Represent True Valuations?

Author

Listed:
  • Chernomaz Kirill

    (San Francisco State University, Department of Economics, San Francisco, CA, USA)

  • Yoshimoto Hisayuki

    (University of Glasgow, Adam Smith Business School, Glasgow, G12 8QQ, UK)

Abstract

Structural asymmetric first-price auction estimation methods have provided numerous empirical studies. However, due to the latent nature of underlying valuations, the accuracy of estimates is not feasibly testable with field data, a fact that could inhibit empirical auction market designs and applications based on structural estimates. To assess their accuracy, we provide an analysis of estimates derived from experimental asymmetric auction data, in which researchers observe valuations. We test the null of statistical equivalence between the estimated and true value distributions against the alternative of non-equivalence. When advanced models are used, the Modified Kolmogorov-Smirnov test fails to reject the distributional equivalence, supporting structural asymmetric auction estimations for auction market studies. In addition, recovered efficiencies have plus-minus 2.5 percent precision, compared to the true efficiencies.

Suggested Citation

  • Chernomaz Kirill & Yoshimoto Hisayuki, 2020. "How Accurately Do Structural Asymmetric First-Price Auction Estimates Represent True Valuations?," Journal of Econometric Methods, De Gruyter, vol. 9(1), pages 1-19, January.
    • Handle: RePEc:bpj:jecome:v:9:y:2020:i:1:p:19:n:1
    DOI: 10.1515/jem-2017-0001
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    References listed on IDEAS

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    More about this item

    Keywords

    asymmetric auction; risk aversion; semi/nonparametric estimation; structural auction estimation;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions

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