Semiparametric Estimation in Models of First-Price, Sealed-Bid Auctions with Affiliation
AbstractWithin the affiliated private-values paradigm, we develop a tractable empirical model of equilibrium behaviour at first-price, sealed-bid auctions. The model is non-parametrically identified, but the rate of convergence in estimation is slow when the number of bidders is even moderately large, so we develop a semiparametric estimation strategy, focusing on the Archimedean family of copulae and implementing this framework using particular members--the Clayton, Frank, and Gumbel copulae. We apply our framework to data from low-price, sealed-bid auctions used by the Michigan Department of Transportation to procure road-resurfacing services, rejecting the hypothesis of independence and finding significant (and high) affiliation in cost signals.
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Bibliographic InfoPaper provided by Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University in its series CEI Working Paper Series with number 2010-10.
Length: 30 p.
Date of creation: Jan 2011
Date of revision:
first-price; sealed-bid auctions; copulae; affiliation;
Other versions of this item:
- Hubbard, Timothy P. & Li, Tong & Paarsch, Harry J., 2012. "Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation," Journal of Econometrics, Elsevier, vol. 168(1), pages 4-16.
- 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
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