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Structural Estimation Of Auction Models

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  • Matthew Shum

Abstract

This paper illustrates in general terms the basic methodology of structural estimation using auction data. It provides a unified view of the common structure underlying structural econometric auction models under various model paradigms. We identify the most crucial steps in building a structural econometric model and discuss the estimation strategies for implementing these models.

Suggested Citation

  • Matthew Shum, 1998. "Structural Estimation Of Auction Models," Working Papers mshum-98-01, University of Toronto, Department of Economics.
    • Handle: RePEc:tor:tecipa:mshum-98-01
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    References listed on IDEAS

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    1. Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, vol. 68(3), pages 525-574, May.
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    7. Milgrom, Paul R & Weber, Robert J, 1982. "A Theory of Auctions and Competitive Bidding," Econometrica, Econometric Society, vol. 50(5), pages 1089-1122, September.
    8. Eric Maskin & John Riley, 2000. "Asymmetric Auctions," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 67(3), pages 413-438.
    9. Vassilis A. Hajivassiliou & Daniel L. McFadden, 1998. "The Method of Simulated Scores for the Estimation of LDV Models," Econometrica, Econometric Society, vol. 66(4), pages 863-896, July.
    10. Matthew Shum, 1998. "The Econometrics Of English Auctions," Working Papers mshum-98-02, University of Toronto, Department of Economics.
    11. Hendricks, Kenneth & Porter, Robert H, 1988. "An Empirical Study of an Auction with Asymmetric Information," American Economic Review, American Economic Association, vol. 78(5), pages 865-883, December.
    12. 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, vol. 34(1), pages 121-148, February.
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    Cited by:

    1. Hong, Han & Shum, Matthew, 2003. "Econometric models of asymmetric ascending auctions," Journal of Econometrics, Elsevier, vol. 112(2), pages 327-358, February.
    2. Carsten Croonenbroeck & Martin Odening & Silke Hüttel, 2020. "Farmland values and bidder behaviour in first-price land auctions [Identification of standard auction models]," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 47(2), pages 558-590.
    3. John K. Horowitz & Lori Lynch & Andrew Stocking, 2009. "Competition-Based Environmental Policy: An Analysis of Farmland Preservation in Maryland," Land Economics, University of Wisconsin Press, vol. 85(4), pages 555-575.

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    More about this item

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions

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