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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)

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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Bibliographic 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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References

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  1. Andrews, Donald W K, 1989. "Power in Econometric Applications," Econometrica, Econometric Society, vol. 57(5), pages 1059-90, September.
  2. Katzman, Brett, 1999. "A Two Stage Sequential Auction with Multi-Unit Demands," Journal of Economic Theory, Elsevier, vol. 86(1), pages 77-99, May.
  3. Paul Milgrom & Robert J. Weber, 1981. "A Theory of Auctions and Competitive Bidding," Discussion Papers 447R, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  4. McAfee R. Preston & Vincent Daniel, 1993. "The Declining Price Anomaly," Journal of Economic Theory, Elsevier, vol. 60(1), pages 191-212, June.
  5. Laffont, J.-J. & Loisel, P. & Robert, J., 1998. "Intra-Day Dynamics in Sequential Auctions: Theory and Estimation," Papers 98.488, Toulouse - GREMAQ.
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Cited by:
  1. Laurent Lamy, 2010. "Identification and estimation of sequential English auctions," Working Papers halshs-00564887, HAL.
  2. Cantillon, Estelle & Pesendorfer, Martin, 2007. "Combination Bidding in Multi-Unit Auctions," CEPR Discussion Papers 6083, C.E.P.R. Discussion Papers.
  3. Octavian Carare, 2012. "Reserve Prices in Repeated Auctions," Review of Industrial Organization, Springer, vol. 40(3), pages 225-247, May.
  4. Ernan Haruvy & Peter T. L. Popkowski Leszczyc & Octavian Carare & James C. Cox & Eric A. Greenleaf & Wolfgang Jank & Sandy Jap & Young-Hoon Park & Michael H. Rothkopf, 2008. "Competition Between Auctions," Experimental Economics Center Working Paper Series 2008-02, Experimental Economics Center, Andrew Young School of Policy Studies, Georgia State University.
    • 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.
  5. Laurent Lamy, 2010. "Identification and estimation of sequential English auctions," PSE Working Papers halshs-00564887, HAL.
  6. Zulehner, Christine, 2009. "Bidding behavior in sequential cattle auctions," International Journal of Industrial Organization, Elsevier, vol. 27(1), pages 33-42, January.
  7. M. Haley, 2010. "Bounding revenue leakages at scale-bid timber auctions: evidence from Wisconsin state forest auctions," Empirical Economics, Springer, vol. 39(2), pages 427-437, October.

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