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Nonparametric Identification and Estimation of Multi-Unit, Sequential, Oral, Ascending-Price Auctions with Asymmetric Bidders

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Author Info
Harry J. Paarsch
Bjarne Brendstrup

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Abstract

Within the independent private-values paradigm, we derive the data-generating process of the winning bid for the last unit sold at sequential English auctions when bidder valuations are draws from one of several different classes of distributions; i.e., in the presence of asymmetries. When the identify of the winner as well as the number of units won by each bidder in previous stages of the auction are observed, we demonstrate nonparametric identification, and then propose two estimation strategies, one based on the empirical distribution function of winning bids for the last unit sold and the other based on Laguerre polynomials. Subsequently, we apply our method to data from fish auctions held in Grenaa, Denmark. For single-unit supply, we use our estimates to compare the revenues a seller could expect to earn were a Dutch auction employed instead

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Publisher Info
Paper provided by Econometric Society in its series Econometric Society 2004 North American Winter Meetings with number 149.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:nawm04:149

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Related research
Keywords: asymmetric multi-unit sequential English fish auctions Dutch auctions semi-nonparametric estimation

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Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
L1 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance
Q22 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Fishery

References listed on IDEAS
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.:

  1. Laffont, Jean-Jacques & Ossard, Herve & Vuong, Quang, 1995. "Econometrics of First-Price Auctions," Econometrica, Econometric Society, vol. 63(4), pages 953-80, July. [Downloadable!] (restricted)
    Other versions:
  2. 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. [Downloadable!] (restricted)
  3. Xiaohong Chen & Xiaotong Shen, 1998. "Sieve Extremum Estimates for Weakly Dependent Data," Econometrica, Econometric Society, vol. 66(2), pages 289-314, March.
  4. Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 55(2), pages 363-90, March. [Downloadable!] (restricted)
  5. Maskin, Eric & Riley, John, 2000. "Asymmetric Auctions," Review of Economic Studies, Blackwell Publishing, vol. 67(3), pages 413-38, July.
  6. Peters, Michael, 1997. "A Competitive Distribution of Auctions," Review of Economic Studies, Blackwell Publishing, vol. 64(1), pages 97-123, January. [Downloadable!] (restricted)
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  7. Paarsch, Harry J., 1997. "Deriving an estimate of the optimal reserve price: An application to British Columbian timber sales," Journal of Econometrics, Elsevier, vol. 78(2), pages 333-357, June. [Downloadable!] (restricted)
  8. Lebrun, Bernard, 1999. "First Price Auctions in the Asymmetric N Bidder Case," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(1), pages 125-42, February.
  9. Susan Athey & Philip A. Haile, 2002. "Identification of Standard Auction Models," Econometrica, Econometric Society, vol. 70(6), pages 2107-2140, November. [Downloadable!] (restricted)
  10. Robert J. Weber, 1981. "Multiple-Object Auctions," Discussion Papers 496, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
  11. repec:cup:etheor:v:7:y:1991:i:3:p:307-40 is not listed on IDEAS
  12. Mireia Jofre-Bonet & Martin Pesendorfer, 2003. "Estimation of a Dynamic Auction Game," Econometrica, Econometric Society, vol. 71(5), pages 1443-1489, 09. [Downloadable!] (restricted)
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  13. repec:att:wimass:1920013 is not listed on IDEAS
  14. Guerre, E. & Perrigne, I. & Vuong, Q., 1995. "Nonparametric Estimation of First-Price Auctions," Papers 9504, Southern California - Department of Economics.
  15. 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. [Downloadable!] (restricted)
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  16. Ashenfelter, Orley, 1989. "How Auctions Work for Wine and Art," Journal of Economic Perspectives, American Economic Association, vol. 3(3), pages 23-36, Summer. [Downloadable!] (restricted)
  17. Milgrom, Paul R & Weber, Robert J, 1982. "A Theory of Auctions and Competitive Bidding," Econometrica, Econometric Society, vol. 50(5), pages 1089-1122, September. [Downloadable!] (restricted)
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  18. Donald, Stephen G & Paarsch, Harry J, 1993. "Piecewise Pseudo-maximum Likelihood Estimation in Empirical Models of Auctions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 34(1), pages 121-48, February. [Downloadable!] (restricted)
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Full references

Cited by:
(explanations, 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.)

  1. Susan Athey & Jonathan Levin & Enrique Seira, 2004. "Comparing Open and Sealed Bid Auctions: Theory and Evidence from Timber Auctions," Levine's Bibliography 122247000000000524, UCLA Department of Economics. [Downloadable!]
    Other versions:
  2. Susan Athey, 2005. "Comparing Open and Sealed Bid Auctions: Theory and Evidence from Timber Auctions," Theory workshop papers 658612000000000098, UCLA Department of Economics. [Downloadable!]
  3. Harry J. Paarsch & Bjarne Brendstrup, 2004. "Nonparametric Estimation of Dutch and First-Price, Sealed-Bid Auction Models with Asymmetric Bidders," Econometric Society 2004 North American Summer Meetings 39, Econometric Society. [Downloadable!]
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