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Auctions with ex post uncertainty

Author

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  • Yao Luo
  • Isabelle Perrigne
  • Quang Vuong

Abstract

Uncertainty about ex post realized values is an inherent component in many auction environments. In this article, we develop a structural framework to analyze auction data subject to ex post uncertainty as a pure risk. We consider a low‐price sealed‐bid auction model with heterogeneous bidders' preferences and ex post uncertainty. The uncertainty can be common to all bidders or idiosyncratic. We derive the model restrictions and study nonparametric and semiparametric identification of the model primitives under exogenous and endogenous participation. We then develop multistep nonparametric and semiparametric estimation procedures in both cases.

Suggested Citation

  • Yao Luo & Isabelle Perrigne & Quang Vuong, 2018. "Auctions with ex post uncertainty," RAND Journal of Economics, RAND Corporation, vol. 49(3), pages 574-593, September.
    • Handle: RePEc:bla:randje:v:49:y:2018:i:3:p:574-593
    DOI: 10.1111/1756-2171.12245
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    Cited by:

    1. Vasserman, Shoshana & Watt, Mitchell, 2021. "Risk aversion and auction design: Theoretical and empirical evidence," International Journal of Industrial Organization, Elsevier, vol. 79(C).
    2. JoonHwan Cho & Yao Luo & Ruli Xiao, 2024. "Deconvolution from two order statistics," Papers 2403.17777, arXiv.org.
    3. Yao Luo & Hidenori Takahashi, 2022. "Bidding for Contracts under Uncertain Demand: Skewed Bidding and Risk Sharing," Working Papers tecipa-732, University of Toronto, Department of Economics.

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