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

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  • Harry J. Paarsch
  • Bjarne Brendstrup

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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Bibliographic 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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Keywords: asymmetric; multi-unit; sequential; English fish auctions; Dutch auctions; semi-nonparametric estimation;

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  1. repec:cup:etheor:v:7:y:1991:i:3:p:307-40 is not listed on IDEAS
  2. Laffont, Jean-Jacques & Ossard, Hervé & Vuong, Quang, 1991. "Econometrics of First-Price Auctions," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse 7, Institut d'Économie Industrielle (IDEI), Toulouse.
  3. Peters, Michael, 1997. "A Competitive Distribution of Auctions," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 64(1), pages 97-123, January.
  4. Susan Athey & Philip A. Haile, 2002. "Identification of Standard Auction Models," Econometrica, Econometric Society, Econometric Society, vol. 70(6), pages 2107-2140, November.
  5. Eastwood, Brian J. & Gallant, A. Ronald, 1991. "Adaptive Rules for Seminonparametric Estimators That Achieve Asymptotic Normality," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 7(03), pages 307-340, September.
  6. Mireia Jofre-Bonet & Martin Pesendorfer, 2003. "Estimation of a Dynamic Auction Game," Econometrica, Econometric Society, Econometric Society, vol. 71(5), pages 1443-1489, 09.
  7. Paul Milgrom & Robert J. Weber, 1981. "A Theory of Auctions and Competitive Bidding," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 447R, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  8. Philip A. Haile & Elie Tamer, 2003. "Inference with an Incomplete Model of English Auctions," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 111(1), pages 1-51, February.
  9. 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, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(1), pages 125-42, February.
  10. Ashenfelter, Orley, 1989. "How Auctions Work for Wine and Art," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 3(3), pages 23-36, Summer.
  11. Guerre, E. & Perrigne, I. & Vuong, Q., 1995. "Nonparametric Estimation of First-Price Auctions," Papers, Southern California - Department of Economics 9504, Southern California - Department of Economics.
  12. Robert J. Weber, 1981. "Multiple-Object Auctions," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 496, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  13. Donald, Stephen G. & Paarsch, Harry J., 2002. "Superconsistent estimation and inference in structural econometric models using extreme order statistics," Journal of Econometrics, Elsevier, Elsevier, vol. 109(2), pages 305-340, August.
  14. Maskin, Eric & Riley, John, 2000. "Asymmetric Auctions," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 67(3), pages 413-38, July.
  15. Paarsch, Harry J., 1997. "Deriving an estimate of the optimal reserve price: An application to British Columbian timber sales," Journal of Econometrics, Elsevier, Elsevier, vol. 78(2), pages 333-357, June.
  16. Xiaohong Chen & Xiaotong Shen, 1998. "Sieve Extremum Estimates for Weakly Dependent Data," Econometrica, Econometric Society, Econometric Society, vol. 66(2), pages 289-314, March.
  17. 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, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 34(1), pages 121-48, February.
  18. Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 363-90, March.
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Cited by:
  1. 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.
  2. Susan Athey, 2005. "Comparing Open and Sealed Bid Auctions: Theory and Evidence from Timber Auctions," Theory workshop papers, UCLA Department of Economics 658612000000000098, UCLA Department of Economics.

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