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Identification of standard auction models

  • Athey,S.
  • Haile,P.A.

    (University of Wisconsin-Madison, Social Systems Research Institute)

This paper presents new identification results for models of first-price, second-price, ascending (English), and descending (Dutch) auctions. We consider a general specification of the latent demand and information structure, nesting both private values and common values models, and allowing correlated types as well as ex ante asymmetry. We address identification of a series of nested models and derive testable restrictions enabling discrimination between models on the basis of observed data. The simplest model--symmetric independent private values--is nonparametrically identified even if only the transaction price from each auction is observed. For richer models, identification and testable restrictions may be obtained when additional information of one or more of the following types is available: (i) the identity of the winning bidder or other bidders; (ii) one or more bids in addition to the transaction price; (iii) exogenous variation in the number of bidders; (iv) bidder-specific covariates. While many private values (PV) models are nonparametrically identified and testable with commonly available data, identification of common values (CV) models requires stringent assumptions. Nonetheless, the PV model can be tested against the CV alternative, even when neither model is identified. Copyright The Econometric Society 2002.

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Paper provided by Wisconsin Madison - Social Systems in its series Working papers with number 13.

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Date of creation: 2000
Date of revision:
Handle: RePEc:att:wimass:200013

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  1. Haile, P.A., 1997. "Auctions with Resale Markets: An Application to U.S. Forest Service Timber Sales," Working papers 9702, Wisconsin Madison - Social Systems.
  2. Susan Athey & Jonathan Levin, 1999. "Information and Competition in U.S. Forest Service Timber Auctions," Working papers 99-12, Massachusetts Institute of Technology (MIT), Department of Economics.
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  7. Laffont, Jean-Jacques & Vuong, Quang, 1993. "Structural econometric analysis of descending auctions," European Economic Review, Elsevier, vol. 37(2-3), pages 329-341, April.
  8. Laffont, Jean-Jacques & Ossard, Herve & Vuong, Quang, 1995. "Econometrics of First-Price Auctions," Econometrica, Econometric Society, vol. 63(4), pages 953-80, July.
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  12. Philip A. Haile & Elie Tamer, 2003. "Inference with an Incomplete Model of English Auctions," Journal of Political Economy, University of Chicago Press, vol. 111(1), pages 1-51, February.
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  14. David Reiley & John List, 2008. "Field experiments," Artefactual Field Experiments 00091, The Field Experiments Website.
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  18. Matthew Shum, 2000. "Nonparametric Tests for Common Values," Econometric Society World Congress 2000 Contributed Papers 1598, Econometric Society.
  19. David Reiley & John List & Richard Engelbrecht-Wiggans, 2004. "Demand reduction in a multi-unit auctions with varying numbers of bidders: Theory and evidence from a field experiment," Framed Field Experiments 00147, The Field Experiments Website.
  20. Matthews, Steven, 1987. "Comparing Auctions for Risk Averse Buyers: A Buyer's Point of View," Econometrica, Econometric Society, vol. 55(3), pages 633-46, May.
  21. Wilson, Robert, 1992. "Strategic analysis of auctions," Handbook of Game Theory with Economic Applications, in: R.J. Aumann & S. Hart (ed.), Handbook of Game Theory with Economic Applications, edition 1, volume 1, chapter 8, pages 227-279 Elsevier.
  22. Heckman, James J & Honore, Bo E, 1990. "The Empirical Content of the Roy Model," Econometrica, Econometric Society, vol. 58(5), pages 1121-49, September.
  23. Li, Tong & Vuong, Quang, 1998. "Nonparametric Estimation of the Measurement Error Model Using Multiple Indicators," Journal of Multivariate Analysis, Elsevier, vol. 65(2), pages 139-165, May.
  24. R. Preston McAfee & Wendy Takacs & Daniel R. Vincent, 1999. "Tariffying Auctions," RAND Journal of Economics, The RAND Corporation, vol. 30(1), pages 158-179, Spring.
  25. Laffont, Jean-Jacques & Vuong, Quang, 1996. "Structural Analysis of Auction Data," American Economic Review, American Economic Association, vol. 86(2), pages 414-20, May.
  26. Balasubramanian, K. & Balakrishnan, N., 1994. "Equivalence of relations for order statistics for exchangeable and arbitrary cases," Statistics & Probability Letters, Elsevier, vol. 21(5), pages 405-407, December.
  27. McAfee, R Preston & McMillan, John, 1987. "Auctions and Bidding," Journal of Economic Literature, American Economic Association, vol. 25(2), pages 699-738, June.
  28. Paarsch, Harry J., 1992. "Deciding between the common and private value paradigms in empirical models of auctions," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 191-215.
  29. Han, Aaron & Hausman, Jerry A, 1990. "Flexible Parametric Estimation of Duration and Competing Risk Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(1), pages 1-28, January-M.
  30. 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 865-83, December.
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