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An empirical model of the multi-unit, sequential, clock auction

  • Harry J. Paarsch

    (Department of Economics, University of Iowa, Iowa City, IA 52242-1000, USA)

  • Stephen G. Donald

    (Department of Economics, University of Texas, Austin, TX 78712, USA)

  • Jacques Robert

    (Department of Information Technologies, HEC Montréal, Montréal, Québec H3T 2A7, Canada)

We construct a model of participation and bidding at multi-unit, sequential, clock auctions when bidders have multi-unit demand. We describe conditions sufficient to characterize a symmetric, perfect-Bayesian equilibrium and then demonstrate that this equilibrium induces an efficient allocation. We propose an algorithm, based on the generalized Vickrey auction, to calculate the expected winning bid for each unit sold. This algorithm allows us to construct a simulation-based estimator of the parameters for both the participation process and the distribution of latent valuations. We apply our method to data from 37 multi-lot, sequential, English auctions of export permits for timber held in Russia. Copyright © 2006 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/jae.854
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File URL: http://qed.econ.queensu.ca:80/jae/2006-v21.8/
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 21 (2006)
Issue (Month): 8 ()
Pages: 1221-1247

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Handle: RePEc:jae:japmet:v:21:y:2006:i:8:p:1221-1247
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  1. Paul Milgrom & Robert J. Weber, 1981. "A Theory of Auctions and Competitive Bidding," Discussion Papers 447R, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  2. Laffont, J.-J. & Loisel, P. & Robert, J., 1998. "Intra-Day Dynamics in Sequential Auctions: Theory and Estimation," Papers 98.488, Toulouse - GREMAQ.
  3. McAfee R. Preston & Vincent Daniel, 1993. "The Declining Price Anomaly," Journal of Economic Theory, Elsevier, vol. 60(1), pages 191-212, June.
  4. Katzman, Brett, 1999. "A Two Stage Sequential Auction with Multi-Unit Demands," Journal of Economic Theory, Elsevier, vol. 86(1), pages 77-99, May.
  5. Donald W.K. Andrews, 1986. "Power in Econometric Applications," Cowles Foundation Discussion Papers 800, Cowles Foundation for Research in Economics, Yale University.
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