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The Econometrics of Auctions with asymmetric anonymous bidders

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  • Laurent Lamy

    (PSE - Paris-Jourdan Sciences Economiques - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - INRA - Institut National de la Recherche Agronomique - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

Abstract

We consider standard auction models when bidders' identities are not-or are only partially-observed by the econometrician. We first adapt the definition of identifiability to a framework with anonymous bids and explore the extent to which anonymity reduces the possibility of identifying private value auction models. Second, in the asymmetric independent private value model which is nonparametrically identified, we generalize Guerre, Perrigne and Vuong's estimation procedure [Optimal nonparametric estimation of first-price auctions, Econometrica 68 (2000) 525-574] and consider the asymptotic properties of our multi-step kernel-based estimator. Monte Carlo simulations illustrate the practical relevance of our estimation procedure in small data sets.

Suggested Citation

  • Laurent Lamy, 2012. "The Econometrics of Auctions with asymmetric anonymous bidders," PSE - Labex "OSE-Ouvrir la Science Economique" halshs-00754606, HAL.
    • Handle: RePEc:hal:pseose:halshs-00754606
    DOI: 10.1016/j.jeconom.2011.10.007
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    Cited by:

    1. Lamy, Laurent, 2012. "The econometrics of auctions with asymmetric anonymous bidders," Journal of Econometrics, Elsevier, vol. 167(1), pages 113-132.
    2. Emmanuel Guerre & Yao Luo, 2019. "Nonparametric Identification of First-Price Auction with Unobserved Competition: A Density Discontinuity Framework," Papers 1908.05476, arXiv.org, revised Jan 2022.
    3. Jayeeta Bhattacharya & Nathalie Gimenes & Emmanuel Guerre, 2019. "Semiparametric Quantile Models for Ascending Auctions with Asymmetric Bidders," Papers 1911.13063, arXiv.org, revised Sep 2020.
    4. Jihui Chen & Maochao Xu, 2015. "Asymmetry and revenue in second-price auctions: a majorization approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(3), pages 625-640, July.
    5. Timothy P. Hubbard & Rene Kirkegaard, 2015. "Asymmetric Auctions with More Than Two Bidders," Working Papers 1502, University of Guelph, Department of Economics and Finance.
    6. Daniel Prudencio, 2023. "Productivity in Procurement Auctions of Pavement Contracts in Mexico," Journal of Productivity Analysis, Springer, vol. 60(1), pages 63-85, August.
    7. Hickman Brent R. & Hubbard Timothy P. & Sağlam Yiğit, 2012. "Structural Econometric Methods in Auctions: A Guide to the Literature," Journal of Econometric Methods, De Gruyter, vol. 1(1), pages 67-106, August.
    8. Luo, Yao, 2020. "Unobserved heterogeneity in auctions under restricted stochastic dominance," Journal of Econometrics, Elsevier, vol. 216(2), pages 354-374.

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    More about this item

    Keywords

    Auctions; Nonparametric identification; Nonparametric estimation; Unobserved heterogeneity; Anonymous bids; Uniform convergence rate;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions

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