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On the Asymptotic Distribution of the Transaction Price in a Clock Model of a Multi-Unit, Oral, Ascending-Price Auction within the Common-Value Paradigm

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  • Han Hong
  • Harry J. Paarsch
  • Pai Xu

Abstract

Using a clock model of a multi-unit, oral, ascending-price auction, within the commonvalue paradigm, we analyse the asymptotic behaviour of the transaction price as the number of bidders gets large. We find that even though the transaction price is determined by a (potentially small) fraction of losing drop-out bids, that price converges in probability to the ex ante unknown, true value. Subsequently, we derive the asymptotic distribution of the transaction price. Finally, we apply our methods to data from an auction of taxi license plates held in Shenzhen, China.

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Bibliographic Info

Paper provided by Collegio Carlo Alberto in its series Carlo Alberto Notebooks with number 186.

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Length: 36 pages
Date of creation: 2010
Date of revision:
Handle: RePEc:cca:wpaper:186

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Keywords: common value; information aggregation; multi-unit auctions; taxis;

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  1. Han Hong & Matthew Shum, 2002. "Rates of Information Aggregation in Common Value Auctions," Economics Working Paper Archive 436, The Johns Hopkins University,Department of Economics.
  2. Mezzetti, Claudio & Tsetlin, Ilia, 2007. "On the Lowest-Winning-Bid and the Highest-Losing-Bid Auctions," The Warwick Economics Research Paper Series (TWERPS) 832, University of Warwick, Department of Economics.
  3. Wolfgang Pesendorfer & Jeroen M. Swinkels, 1995. "The Loser's Curse and Information Aggregation in Common Value Auctions," Discussion Papers 1147, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  4. Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
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