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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

  • Han Hong
  • Harry J. Paarsch
  • Pai Xu

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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Paper provided by Collegio Carlo Alberto in its series Carlo Alberto Notebooks with number 186.

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Length: 36 pages
Date of creation: 2010
Date of revision:
Handle: RePEc:cca:wpaper:186
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  1. Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
  2. Wolfgang Pesendorfer & Jeroen M. Swinkels, 1997. "The Loser's Curse and Information Aggregation in Common Value Auctions," Econometrica, Econometric Society, vol. 65(6), pages 1247-1282, November.
  3. 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.
  4. Claudio Mezzetti & Ilia Tsetlin, 2006. "On the Lowest-Winning-Bid and the Highest-Losing-Bid Auctions," Discussion Papers in Economics 06/16, Department of Economics, University of Leicester.
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