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Econometrics of Ascending Auctions by Quantile Regression

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  • Nathalie Gimenes

    (Pontifical Catholic University of Rio de Janeiro)

Abstract

This paper suggests an identification and estimation approach based on quantile regression to recover the underlying distribution of bidders’ private values in ascending auctions under the IPV paradigm. The quantile regression approach provides a flexible and convenient parameterization of the private values distribution, with an estimation methodology easy to implement and with several specification tests. The quantile framework provides a new focus on the quantile level of the private values distribution—in particular, the seller’s optimal screening level, which can be very useful for bidders and seller. An empirical application using data from the USFS timber auctions illustrates the methodology.

Suggested Citation

  • Nathalie Gimenes, 2017. "Econometrics of Ascending Auctions by Quantile Regression," The Review of Economics and Statistics, MIT Press, vol. 99(5), pages 944-953, December.
    • Handle: RePEc:tpr:restat:v:99:y:2017:i:5:p:944-953
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    File URL: http://www.mitpressjournals.org/doi/pdf/10.1162/REST_a_00658
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    Cited by:

    1. Jun Ma & Vadim Marmer & Artyom Shneyerov & Pai Xu, 2021. "Monotonicity-constrained nonparametric estimation and inference for first-price auctions," Econometric Reviews, Taylor & Francis Journals, vol. 40(10), pages 944-982, November.
    2. Zhang, Yu Yvette, 2022. "Nonparametric estimation of first price auctions via density–quantile function," Economics Letters, Elsevier, vol. 216(C).
    3. Gimenes, Nathalie & Guerre, Emmanuel, 2022. "Quantile regression methods for first-price auctions," Journal of Econometrics, Elsevier, vol. 226(2), pages 224-247.
    4. Jayeeta Bhattacharya & Nathalie Gimenes & Emmanuel Guerre, 2019. "Semiparametric Quantile Models for Ascending Auctions with Asymmetric Bidders," Papers 1911.13063, arXiv.org, revised Sep 2020.
    5. Ma, Jun & Marmer, Vadim & Shneyerov, Artyom, 2019. "Inference for first-price auctions with Guerre, Perrigne, and Vuong’s estimator," Journal of Econometrics, Elsevier, vol. 211(2), pages 507-538.
    6. Jayeeta Bhattacharya, 2020. "Quantile regression with generated dependent variable and covariates," Papers 2012.13614, arXiv.org.
    7. Andreea Enache & Jean-Pierre Florens, 2020. "Identification and Estimation in a Third-Price Auction Model," Post-Print hal-02929530, HAL.
    8. Enache, Andreea & Florens, Jean-Pierre, 2019. "Identification and Estimation in a Third-Price Auction Model," TSE Working Papers 19-989, Toulouse School of Economics (TSE).

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