Econometrics of auctions by least squares
AbstractI investigate using the method of ordinary least squares (OLS) on auction data. I find that for parameterizations of the valuation distribution that are common in empirical practice, an adaptation of OLS provides unbiased estimators of structural parameters. Under symmetric independent private values, adapted OLS is a specialization of the method of moments strategy of Laffont, Ossard and Vuong (1995). In contrast to their estimator, here simulation is not required, leading to a computationally simpler procedure. The paper also discusses using estimation results for inference on the shape of the valuation distribution, and applicability outside the symmetric independent private values framework. Copyright © 2008 John Wiley & Sons, Ltd.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.
Volume (Year): 23 (2008)
Issue (Month): 7 ()
Contact details of provider:
Web page: http://www.interscience.wiley.com/jpages/0883-7252/
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.:
- Levin, Dan & Smith, James L, 1991. "Some Evidence on the Winner's Curse: Comment," American Economic Review, American Economic Association, vol. 81(1), pages 370-75, March.
- Philip A. Haile & Elie Tamer, 2003.
"Inference with an Incomplete Model of English Auctions,"
Journal of Political Economy,
University of Chicago Press, vol. 111(1), pages 1-51, February.
- Philip Haile, 2000. "Inference with an Incomplete Model of English Auctions," Econometric Society World Congress 2000 Contributed Papers 1546, Econometric Society.
- Haile,P.A. & Tamer,E.T., 2000. "Inference with an incomplete model of English auctions," Working papers 18, Wisconsin Madison - Social Systems.
- Cynthia G. McDonald & V. Carlos Slawson, 2002. "Reputation in An Internet Auction Market," Economic Inquiry, Western Economic Association International, vol. 40(4), pages 633-650, October.
- Daniel Houser & John Wooders, 2006. "Reputation in Auctions: Theory, and Evidence from eBay," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 15(2), pages 353-369, 06.
- Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, vol. 68(3), pages 525-574, May.
- John Wooders & Stanley S. Reynolds, 2004.
"Auctions with a Buy Price,"
Econometric Society 2004 North American Summer Meetings
130, Econometric Society.
- Donald, Stephen G. & Paarsch, Harry J., 2002. "Superconsistent estimation and inference in structural econometric models using extreme order statistics," Journal of Econometrics, Elsevier, vol. 109(2), pages 305-340, August.
- Athey,S. & Haile,P.A., 2000.
"Identification of standard auction models,"
13, Wisconsin Madison - Social Systems.
- Laffont & Ossard & Vuong, 1995.
"Econometrics of first-price auctions,"
153731, Institut National de la Recherche Agronomique, France.
- Harry J. Paarsch & Han Hong, 2006. "An Introduction to the Structural Econometrics of Auction Data," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262162350, December.
- Donald, S.G. & Paarsch, H.J., 1992. "Maximum Likelihood Estimation in Empirical Models of Auctions," UWO Department of Economics Working Papers 9211, University of Western Ontario, Department of Economics.
- David Lucking-Reiley & Doug Bryan & Naghi Prasad & Daniel Reeves, 2007. "PENNIES FROM EBAY: THE DETERMINANTS OF PRICE IN ONLINE AUCTIONS -super-* ," Journal of Industrial Economics, Wiley Blackwell, vol. 55(2), pages 223-233, 06.
- Paarsch, Harry J., 1992. "Deciding between the common and private value paradigms in empirical models of auctions," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 191-215.
- Thiel, Stuart E, 1988. "Some Evidence of the Winner's Curse," American Economic Review, American Economic Association, vol. 78(5), pages 884-95, December.
- Barbosa, Klenio de Souza & Fiuza, Eduardo, 2012. "Demand aggregation and credit risk effects in pooled procurement: evidence from the Brazilian public purchases of pharmaceuticals and medical supplies," Textos para discussÃ£o 299, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
- Arvate, Paulo & Barbosa, Klenio de Souza & Gambardella, Dante, 2013. "Generic-branded drug competition and the price for pharmaceuticals in procurement auctions," Textos para discussÃ£o 333, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
- Ferona, Angeliki & Tsionas, Efthymios G., 2012. "Measurement of excess bidding in auctions," Economics Letters, Elsevier, vol. 116(3), pages 377-380.
- Atsushi Iimi, 2013. "Testing Low-Balling Strategy in Rural Road Procurement," Review of Industrial Organization, Springer, vol. 43(3), pages 243-261, November.
- Davis, David E., 2011.
"Buyer Alliances as Countervailing Power in WIC Infant-Formula Auctions,"
SDSU Working Papers in Progress
12011, South Dakota State University, Department of Economics.
- Davis, David E., 2011. "Buyer Alliances as Countervailing Power in WIC Infant-Formula Auctions," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 123863, Agricultural and Applied Economics Association.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.