IDEAS home Printed from https://ideas.repec.org/p/hal/psewpa/halshs-00564887.html
   My bibliography  Save this paper

Identification and estimation of sequential English auctions

Author

Listed:
  • Laurent Lamy

    (PSE - Paris-Jourdan Sciences Economiques - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - INRA - Institut National de la Recherche Agronomique - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

Abstract

Brendstrup (2007) and Brendstrup and Paarsch (2006) claim that sequential English auction models with multi-unit demand can be identified from the distribution of the last stage winning price and without any assumption on bidding behavior in the earliest stages. We show that their identification strategy is not correct and that non-identification occurs even if equilibrium behavior is assumed in the earliest stages. For two-stage sequential auctions, an estimation procedure that has an equilibrium foundation and that uses the winning price at both stages is developed and supported by Monte Carlo experiments. Identification under general affiliated multi-unit demand schemes is also investigated.

Suggested Citation

  • Laurent Lamy, 2010. "Identification and estimation of sequential English auctions," PSE Working Papers halshs-00564887, HAL.
    • Handle: RePEc:hal:psewpa:halshs-00564887
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00564887
    as

    Download full text from publisher

    File URL: https://shs.hal.science/halshs-00564887/document
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, vol. 68(3), pages 525-574, May.
    2. Olivier Compte & Philippe Jehiel, 2007. "Auctions and information acquisition: sealed bid or dynamic formats?," RAND Journal of Economics, RAND Corporation, vol. 38(2), pages 355-372, June.
    3. Brendstrup, Bjarne, 2006. "A simple nonparametric test for synergies in multi-object sequential English auctions," Economics Letters, Elsevier, vol. 93(3), pages 443-449, December.
    4. Isa Hafalir & Vijay Krishna, 2008. "Asymmetric Auctions with Resale," American Economic Review, American Economic Association, vol. 98(1), pages 87-112, March.
    5. Stephen G. Donald & Harry J. Paarsch & Jacques Robert, 2006. "An empirical model of the multi‐unit, sequential, clock auction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1221-1247, December.
    6. Brendstrup, Bjarne, 2007. "Non-parametric estimation of sequential english auctions," Journal of Econometrics, Elsevier, vol. 141(2), pages 460-481, December.
    7. Elodie Guerre & I. Perrigne & Q.H. Vuong, 2000. "Optimal nonparametric estimation of first-price auctions [[Estimation nonparamétrique optimale des enchères au premier prix]]," Post-Print hal-02697497, HAL.
    8. Bernard Lebrun, 2010. "First‐price auctions with resale and with outcomes robust to bid disclosure," RAND Journal of Economics, RAND Corporation, vol. 41(1), pages 165-178, March.
    9. Brendstrup, Bjarne & Paarsch, Harry J., 2006. "Identification and estimation in sequential, asymmetric, English auctions," Journal of Econometrics, Elsevier, vol. 134(1), pages 69-94, September.
    10. Philippe Jehiel & Benny Moldovanu, 1996. "Strategic Nonparticipation," RAND Journal of Economics, The RAND Corporation, vol. 27(1), pages 84-98, Spring.
    11. Milgrom, Paul R & Weber, Robert J, 1982. "A Theory of Auctions and Competitive Bidding," Econometrica, Econometric Society, vol. 50(5), pages 1089-1122, September.
    12. McAfee R. Preston & Vincent Daniel, 1993. "The Declining Price Anomaly," Journal of Economic Theory, Elsevier, vol. 60(1), pages 191-212, June.
    13. Katzman, Brett, 1999. "A Two Stage Sequential Auction with Multi-Unit Demands," Journal of Economic Theory, Elsevier, vol. 86(1), pages 77-99, May.
    14. Guerre, E. & Perrigne, I. & Vuong, Q., 1995. "Nonparametric Estimation of First-Price Auctions," Papers 9504, Southern California - Department of Economics.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lorentziadis, Panos L., 2016. "Optimal bidding in auctions from a game theory perspective," European Journal of Operational Research, Elsevier, vol. 248(2), pages 347-371.
    2. Hickman Brent R. & Hubbard Timothy P. & Sağlam Yiğit, 2012. "Structural Econometric Methods in Auctions: A Guide to the Literature," Journal of Econometric Methods, De Gruyter, vol. 1(1), pages 67-106, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dutra, Renato Cabral Dias & Carpio, Lucio Guido Tapia, 2021. "Biodiesel auctions in Brazil: Symmetry of bids and informational paradigm," Renewable and Sustainable Energy Reviews, Elsevier, vol. 137(C).
    2. Yixin Lu & Alok Gupta & Wolfgang Ketter & Eric van Heck, 2019. "Dynamic Decision Making in Sequential Business-to-Business Auctions: A Structural Econometric Approach," Management Science, INFORMS, vol. 65(8), pages 3853-3876, August.
    3. Brendstrup, Bjarne, 2007. "Non-parametric estimation of sequential english auctions," Journal of Econometrics, Elsevier, vol. 141(2), pages 460-481, December.
    4. Brendstrup, Bjarne & Paarsch, Harry J., 2007. "Semiparametric identification and estimation in multi-object, English auctions," Journal of Econometrics, Elsevier, vol. 141(1), pages 84-108, November.
    5. Lorentziadis, Panos L., 2016. "Optimal bidding in auctions from a game theory perspective," European Journal of Operational Research, Elsevier, vol. 248(2), pages 347-371.
    6. Lamy, Laurent, 2012. "The econometrics of auctions with asymmetric anonymous bidders," Journal of Econometrics, Elsevier, vol. 167(1), pages 113-132.
    7. Harry J. Paarsch & Bjarne Brendstrup, 2004. "Nonparametric Identification and Estimation of Multi-Unit, Sequential, Oral, Ascending-Price Auctions with Asymmetric Bidders," Econometric Society 2004 Latin American Meetings 2, Econometric Society.
    8. Kenneth Hendricks & Joris Pinkse & Robert H. Porter, 2003. "Empirical Implications of Equilibrium Bidding in First-Price, Symmetric, Common Value Auctions," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 70(1), pages 115-145.
    9. Jingfeng Lu & Isabelle Perrigne, 2008. "Estimating risk aversion from ascending and sealed-bid auctions: the case of timber auction data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(7), pages 871-896.
    10. Gerard J. van den Berg & Bas van der Klaauw, 2007. "If Winning isn't Everything, why do they keep Score? A Structural Empirical Analysis of Dutch Flower Auctions," Tinbergen Institute Discussion Papers 07-041/3, Tinbergen Institute.
    11. Xun Tang, 2008. "Bounds on Revenue Distributions in Counterfactual Auctions with Reserve Prices," PIER Working Paper Archive 08-042, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    12. Kaplan, Todd R. & Zamir, Shmuel, 2015. "Advances in Auctions," Handbook of Game Theory with Economic Applications,, Elsevier.
    13. Susan Athey & Philip A. Haile, 2006. "Empirical Models of Auctions," NBER Working Papers 12126, National Bureau of Economic Research, Inc.
    14. Timothy Hubbard & René Kirkegaard & Harry Paarsch, 2013. "Using Economic Theory to Guide Numerical Analysis: Solving for Equilibria in Models of Asymmetric First-Price Auctions," Computational Economics, Springer;Society for Computational Economics, vol. 42(2), pages 241-266, August.
    15. Zulehner, Christine, 2009. "Bidding behavior in sequential cattle auctions," International Journal of Industrial Organization, Elsevier, vol. 27(1), pages 33-42, January.
    16. Hubbard, Timothy P. & Li, Tong & Paarsch, Harry J., 2012. "Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation," Journal of Econometrics, Elsevier, vol. 168(1), pages 4-16.
    17. Hickman Brent R. & Hubbard Timothy P. & Sağlam Yiğit, 2012. "Structural Econometric Methods in Auctions: A Guide to the Literature," Journal of Econometric Methods, De Gruyter, vol. 1(1), pages 67-106, August.
    18. Reiss, Peter C. & Wolak, Frank A., 2003. "Structural Econometric Modeling: Rationales and Examples from Industrial Organization," Research Papers 1831, Stanford University, Graduate School of Business.
    19. Sailer, Katharina, 2006. "Searching the eBay Marketplace," Discussion Papers in Economics 1234, University of Munich, Department of Economics.
    20. Quang Vuong & Sandra Campo & Isabelle Perrigne, 2003. "Asymmetry in first-price auctions with affiliated private values," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(2), pages 179-207.

    More about this item

    Keywords

    sequential auctions; nonparametric identification; nonparametric estimation;
    All these keywords.

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:psewpa:halshs-00564887. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.