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Econometrics of first-price auctions with entry and binding reservation prices

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  • Tong Li
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 126 (2005)
    Issue (Month): 1 (May)
    Pages: 173-200

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    Handle: RePEc:eee:econom:v:126:y:2005:i:1:p:173-200

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    Web page: http://www.elsevier.com/locate/jeconom

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    1. Laffont, Jean-Jacques & Ossard, Hervé & Vuong, Quang, 1991. "Econometrics of First-Price Auctions," IDEI Working Papers 7, Institut d'Économie Industrielle (IDEI), Toulouse.
    2. Riley, John G & Samuelson, William F, 1981. "Optimal Auctions," American Economic Review, American Economic Association, vol. 71(3), pages 381-92, June.
    3. Donald, Stephen G. & Paarsch, Harry J., 1996. "Identification, Estimation, and Testing in Parametric Empirical Models of Auctions within the Independent Private Values Paradigm," Econometric Theory, Cambridge University Press, vol. 12(03), pages 517-567, August.
    4. Haile,P.A., 1999. "Auctions with resale," Working papers, Wisconsin Madison - Social Systems 33, Wisconsin Madison - Social Systems.
    5. Donald, Stephen G & Paarsch, Harry J, 1993. "Piecewise Pseudo-maximum Likelihood Estimation in Empirical Models of Auctions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 34(1), pages 121-48, February.
    6. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 31(3), pages 129-137.
    7. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 1029-54, July.
    8. Dan Levin & James L. Smith, 2002. "Entry coordination in auctions and social welfare: An experimental investigation," International Journal of Game Theory, Springer, vol. 30(3), pages 321-350.
    9. Matthew Shum, 2000. "Nonparametric Tests for Common Values," Econometric Society World Congress 2000 Contributed Papers 1598, Econometric Society.
    10. K. Newey, Whitney, 1985. "Generalized method of moments specification testing," Journal of Econometrics, Elsevier, Elsevier, vol. 29(3), pages 229-256, September.
    11. Kenneth Hendricks & Joris Pinkse & Robert H. Porter, 2003. "Empirical Implications of Equilibrium Bidding in First-Price, Symmetric, Common Value Auctions," Review of Economic Studies, Oxford University Press, vol. 70(1), pages 115-145.
    12. J. Riley & E. Maskin, 1981. "Optimal Auctions with Risk Averse Buyers," Working papers 311, Massachusetts Institute of Technology (MIT), Department of Economics.
    13. McAfee, R Preston & Quan, Daniel C & Vincent, Daniel R, 2002. "How to Set Minimum Acceptable Bids, with an Application to Real Estate Auctions," Journal of Industrial Economics, Wiley Blackwell, vol. 50(4), pages 391-416, December.
    14. Li, Tong & Perrigne, Isabelle & Vuong, Quang, 2000. "Conditionally independent private information in OCS wildcat auctions," Journal of Econometrics, Elsevier, Elsevier, vol. 98(1), pages 129-161, September.
    15. Susan Athey & Philip A. Haile, 2002. "Identification of Standard Auction Models," Econometrica, Econometric Society, Econometric Society, vol. 70(6), pages 2107-2140, November.
    16. James J. Heckman & Christopher J. Flinn, 1982. "New Methods for Analyzing Structural Models of Labor Force Dynamics," NBER Working Papers 0856, National Bureau of Economic Research, Inc.
    17. Paarsch, Harry J., 1997. "Deriving an estimate of the optimal reserve price: An application to British Columbian timber sales," Journal of Econometrics, Elsevier, Elsevier, vol. 78(2), pages 333-357, June.
    18. Levin, Dan & Smith, James L, 1994. "Equilibrium in Auctions with Entry," American Economic Review, American Economic Association, vol. 84(3), pages 585-99, June.
    19. Tong Li & Isabelle Perrigne, 2003. "Timber Sale Auctions with Random Reserve Prices," The Review of Economics and Statistics, MIT Press, vol. 85(1), pages 189-200, February.
    20. Li, Tong & Vuong, Quang, 1997. "Using all bids in parametric estimation of first-price auctions," Economics Letters, Elsevier, vol. 55(3), pages 321-325, September.
    21. Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, Econometric Society, vol. 68(3), pages 525-574, May.
    22. McAfee, R. Preston & McMillan, John, 1987. "Auctions with entry," Economics Letters, Elsevier, vol. 23(4), pages 343-347.
    23. William Vickrey, 1961. "Counterspeculation, Auctions, And Competitive Sealed Tenders," Journal of Finance, American Finance Association, vol. 16(1), pages 8-37, 03.
    24. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, Econometric Society, vol. 57(2), pages 307-33, March.
    25. Paarsch, Harry J., 1992. "Deciding between the common and private value paradigms in empirical models of auctions," Journal of Econometrics, Elsevier, Elsevier, vol. 51(1-2), pages 191-215.
    26. Pagan, Adrian & Vella, Frank, 1989. "Diagnostic Tests for Models Based on Individual Data: A Survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 4(S), pages S29-59, Supplemen.
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    Cited by:
    1. Susan Athey & Jonathan Levin & Enrique Seira, 2008. "Comparing Open and Sealed Bid Auctions: Evidence from Timber Auctions," NBER Working Papers 14590, National Bureau of Economic Research, Inc.
    2. Li, Tong, 2009. "Simulation based selection of competing structural econometric models," Journal of Econometrics, Elsevier, Elsevier, vol. 148(2), pages 114-123, February.
    3. An, Yonghong & Hu, Yingyao & Shum, Matthew, 2010. "Estimating first-price auctions with an unknown number of bidders: A misclassification approach," Journal of Econometrics, Elsevier, Elsevier, vol. 157(2), pages 328-341, August.
    4. Marmer, Vadim & Shneyerov, Artyom & Xu, Pai, 2013. "What model for entry in first-price auctions? A nonparametric approach," Journal of Econometrics, Elsevier, Elsevier, vol. 176(1), pages 46-58.
    5. Hubbard, Timothy P. & Li, Tong & Paarsch, Harry J., 2012. "Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation," Journal of Econometrics, Elsevier, Elsevier, vol. 168(1), pages 4-16.
    6. Jun, Sung Jae & Pinkse, Joris & Wan, Yuanyuan, 2010. "A consistent nonparametric test of affiliation in auction models," Journal of Econometrics, Elsevier, Elsevier, vol. 159(1), pages 46-54, November.
    7. Brendstrup, Bjarne & Paarsch, Harry J., 2007. "Semiparametric identification and estimation in multi-object, English auctions," Journal of Econometrics, Elsevier, Elsevier, vol. 141(1), pages 84-108, November.
    8. Zheng, Xiaoyong, 2009. "Quantifying the cost of excess market thickness in timber sale auctions," International Journal of Industrial Organization, Elsevier, Elsevier, vol. 27(5), pages 553-566, September.
    9. Fang, Hanming & Tang, Xun, 2014. "Inference of bidders’ risk attitudes in ascending auctions with endogenous entry," Journal of Econometrics, Elsevier, Elsevier, vol. 180(2), pages 198-216.
    10. Elena Krasnokutskaya & Katja Seim, 2011. "Bid Preference Programs and Participation in Highway Procurement Auctions," American Economic Review, American Economic Association, vol. 101(6), pages 2653-86, October.
    11. Li, Tong & Zheng, Xiaoyong, 2012. "Information acquisition and/or bid preparation: A structural analysis of entry and bidding in timber sale auctions," Journal of Econometrics, Elsevier, Elsevier, vol. 168(1), pages 29-46.
    12. Bierens, Herman J. & Song, Hosin, 2012. "Semi-nonparametric estimation of independently and identically repeated first-price auctions via an integrated simulated moments method," Journal of Econometrics, Elsevier, Elsevier, vol. 168(1), pages 108-119.
    13. Tong Li & Xiaoyong Zheng, 2006. "Entry and competition effects in first-price auctions: theory and evidence from procurement auctions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP13/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    14. Hanming Fang & Xun Tang, 2013. "Inference of Bidders’ Risk Attitudes in Ascending Auctions with Endogenous Entry," PIER Working Paper Archive 13-056, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    15. Tong Li, 2006. "Simulation based selection of competing structural econometric models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP16/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

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