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An empirical model of the multi-unit, sequential, clock auction

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Author Info
Harry J. Paarsch (Department of Economics, University of Iowa, Iowa City, IA 52242-1000, USA)
Stephen G. Donald (Department of Economics, University of Texas, Austin, TX 78712, USA)
Jacques Robert (Department of Information Technologies, HEC Montréal, Montréal, Québec H3T 2A7, Canada)

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Abstract

We construct a model of participation and bidding at multi-unit, sequential, clock auctions when bidders have multi-unit demand. We describe conditions sufficient to characterize a symmetric, perfect-Bayesian equilibrium and then demonstrate that this equilibrium induces an efficient allocation. We propose an algorithm, based on the generalized Vickrey auction, to calculate the expected winning bid for each unit sold. This algorithm allows us to construct a simulation-based estimator of the parameters for both the participation process and the distribution of latent valuations. We apply our method to data from 37 multi-lot, sequential, English auctions of export permits for timber held in Russia. Copyright © 2006 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/jae.854
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File URL: http://qed.econ.queensu.ca:80/jae/2006-v21.8/
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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 21 (2006)
Issue (Month): 8 ()
Pages: 1221-1247
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Handle: RePEc:jae:japmet:v:21:y:2006:i:8:p:1221-1247

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  1. Katzman, Brett, 1999. "A Two Stage Sequential Auction with Multi-Unit Demands," Journal of Economic Theory, Elsevier, vol. 86(1), pages 77-99, May. [Downloadable!] (restricted)
  2. Andrews, Donald W K, 1989. "Power in Econometric Applications," Econometrica, Econometric Society, vol. 57(5), pages 1059-90, September. [Downloadable!] (restricted)
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  3. McAfee R. Preston & Vincent Daniel, 1993. "The Declining Price Anomaly," Journal of Economic Theory, Elsevier, vol. 60(1), pages 191-212, June. [Downloadable!] (restricted)
  4. Milgrom, Paul R & Weber, Robert J, 1982. "A Theory of Auctions and Competitive Bidding," Econometrica, Econometric Society, vol. 50(5), pages 1089-1122, September. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Cantillon, Estelle & Pesendorfer, Martin, 2007. "Combination Bidding in Multi-Unit Auctions," CEPR Discussion Papers 6083, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  2. Christine Zulehner, 2007. "Bidding behavior in sequential cattle auctions," Vienna Economics Papers 0705, University of Vienna, Department of Economics. [Downloadable!]
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  3. Ernan Haruvy & Peter Popkowski Leszczyc & Octavian Carare & James Cox & Eric Greenleaf & Wolfgang Jank & Sandy Jap & Young-Hoon Park & Michael Rothkopf, 2008. "Competition between auctions," Marketing Letters, Springer, vol. 19(3), pages 431-448, December. [Downloadable!] (restricted)
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