Identification and estimation of sequential English auctions
AbstractBrendstrup (2007) and Brendstrup and Paarsch (2006) claim that sequential English auction models with multi-unit demand can be identified from the distribution of the last stage winning price and without any assumption on bidding behavior in the earliest stages. We show that their identification strategy is not correct and that non-identification occurs even if equilibrium behavior is assumed in the earliest stages. For two-stage sequential auctions, an estimation procedure that has an equilibrium foundation and that uses the winning price at both stages is developed and supported by Monte Carlo experiments. Identification under general affiliated multi-unit demand schemes is also investigated.
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Date of creation: Jun 2010
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sequential auctions ; nonparametric identification ; nonparametric estimation;
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- Harry J. Paarsch & Stephen G. Donald & Jacques Robert, 2006. "An empirical model of the multi-unit, sequential, clock auction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1221-1247.
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