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Identification of standard auction models

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  • Athey,S.
  • Haile,P.A.

    (University of Wisconsin-Madison, Social Systems Research Institute)

Abstract

This paper presents new identification results for models of first-price, second-price, ascending (English), and descending (Dutch) auctions. We consider a general specification of the latent demand and information structure, nesting both private values and common values models, and allowing correlated types as well as ex ante asymmetry. We address identification of a series of nested models and derive testable restrictions enabling discrimination between models on the basis of observed data. The simplest model--symmetric independent private values--is nonparametrically identified even if only the transaction price from each auction is observed. For richer models, identification and testable restrictions may be obtained when additional information of one or more of the following types is available: (i) the identity of the winning bidder or other bidders; (ii) one or more bids in addition to the transaction price; (iii) exogenous variation in the number of bidders; (iv) bidder-specific covariates. While many private values (PV) models are nonparametrically identified and testable with commonly available data, identification of common values (CV) models requires stringent assumptions. Nonetheless, the PV model can be tested against the CV alternative, even when neither model is identified. Copyright The Econometric Society 2002.

(This abstract was borrowed from another version of this item.)

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Bibliographic Info

Paper provided by Wisconsin Madison - Social Systems in its series Working papers with number 13.

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Date of creation: 2000
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Handle: RePEc:att:wimass:200013

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Postal: UNIVERSITY OF WISCONSIN MADISON, SOCIAL SYSTEMS RESEARCH INSTITUTE(S.S.R.I.), MADISON WISCONSIN 53706 U.S.A.

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References

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  1. Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, vol. 68(3), pages 525-574, May.
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  8. Laffont, Jean-Jacques & Ossard, Hervé & Vuong, Quang, 1991. "Econometrics of First-Price Auctions," IDEI Working Papers 7, Institut d'Économie Industrielle (IDEI), Toulouse.
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  12. Robert Wilson, 1998. "Sequential equilibria of asymmetric ascending auctions: The case of log-normal distributions," Economic Theory, Springer, vol. 12(2), pages 433-440.
  13. Haile,P.A. & Tamer,E.T., 2000. "Inference with an incomplete model of English auctions," Working papers 18, Wisconsin Madison - Social Systems.
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  17. Rob Porter, 1999. "Empirical Implications of Equilibrium Bidding in First-Price, Symmetric, Common Value Auctions," Working papers 99-19, Massachusetts Institute of Technology (MIT), Department of Economics.
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  20. Richard Engelbrecht-Wiggans & John A. List & David H. Reiley, 2006. "Demand Reduction In Multi-Unit Auctions With Varying Numbers Of Bidders: Theory And Evidence From A Field Experiment ," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 47(1), pages 203-231, 02.
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  24. Laffont, Jean-Jacques & Vuong, Quang, 1996. "Structural Analysis of Auction Data," American Economic Review, American Economic Association, vol. 86(2), pages 414-20, May.
  25. Matt Shum & Phil Haile & Han Hong, 2003. "Nonparametric Tests for Common Values in First-Price Auctions," Economics Working Paper Archive 501, The Johns Hopkins University,Department of Economics.
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  28. Crandall, Robert W, 1998. "New Zealand Spectrum Policy: A Model for the United States?," Journal of Law and Economics, University of Chicago Press, vol. 41(2), pages 821-40, October.
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