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On the Asymptotic Distribution of the Transaction Price in a Clock Model of a Multi-Unit, Oral, Ascending-Price Auction within the Common-Value Paradigm

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  • Hong, Han
  • Paarsch, Harry J.
  • Xu, Pai

Abstract

Using a clock model of a multi-unit, oral, ascending-price auction, within the commonvalue paradigm, we analyse the asymptotic behaviour of the transaction price as the number of bidders gets large. We find that even though the transaction price is determined by a (potentially small) fraction of losing drop-out bids, that price converges in probability to the ex ante unknown, true value. Subsequently, we derive the asymptotic distribution of the transaction price. Finally, we apply our methods to data from an auction of taxi license plates held in Shenzhen, China.

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File URL: http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/18880/1/wp2010-8.pdf
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Bibliographic Info

Paper provided by Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University in its series CEI Working Paper Series with number 2010-8.

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Length: 35 p.
Date of creation: Dec 2010
Date of revision:
Handle: RePEc:hit:hitcei:2010-8

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Keywords: common value; information aggregation; multi-unit auctions; taxis;

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  1. Hong, Han & Shum, Matthew, 2004. "Rates of information aggregation in common value auctions," Journal of Economic Theory, Elsevier, vol. 116(1), pages 1-40, May.
  2. Mezzetti, Claudio & Tsetlin, Ilia, 2008. "On the lowest-winning-bid and the highest-losing-bid auctions," Journal of Mathematical Economics, Elsevier, vol. 44(9-10), pages 1040-1048, September.
  3. Wolfgang Pesendorfer & Jeroen M. Swinkels, 1997. "The Loser's Curse and Information Aggregation in Common Value Auctions," Econometrica, Econometric Society, vol. 65(6), pages 1247-1282, November.
  4. Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
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