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
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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- 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.
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- Mezzetti, Claudio & Tsetlin, Ilia, 2007. "On the Lowest-Winning-Bid and the Highest-Losing-Bid Auctions," The Warwick Economics Research Paper Series (TWERPS) 832, University of Warwick, Department of Economics.
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- 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.
- Han Hong & Matthew Shum, 2002. "Rates of Information Aggregation in Common Value Auctions," Economics Working Paper Archive 436, The Johns Hopkins University,Department of Economics.
- Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August. Full references (including those not matched with items on IDEAS)
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