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
AbstractUsing 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 InfoPaper provided by Collegio Carlo Alberto in its series Carlo Alberto Notebooks with number 186.
Length: 36 pages
Date of creation: 2010
Date of revision:
common value; information aggregation; multi-unit auctions; taxis;
Other versions of this item:
- Hong, Han & Paarsch, Harry J. & Xu, Pai, 2010. "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," CEI Working Paper Series 2010-8, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
- L1 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance
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.:
- 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.
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- 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.
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- Claudio Mezzetti & Ilia Tsetlin, 2006. "On the Lowest-Winning-Bid and the Highest-Losing-Bid Auctions," Discussion Papers in Economics 06/16, Department of Economics, University of Leicester.
- Wolfgang Pesendorfer & Jeroen M. Swinkels, 1995.
"The Loser's Curse and Information Aggregation in Common Value Auctions,"
1147, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Wolfgang Pesendorfer & Jeroen M. Swinkels, 1997. "The Loser's Curse and Information Aggregation in Common Value Auctions," Econometrica, Econometric Society, vol. 65(6), pages 1247-1282, November.
- 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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