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Identification and estimation of sequential English auctions

  • Laurent Lamy

    (PSE - Paris-Jourdan Sciences Economiques - CNRS - Institut national de la recherche agronomique (INRA) - EHESS - École des hautes études en sciences sociales - ENS Paris - École normale supérieure - Paris - École des Ponts ParisTech (ENPC), EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics)

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.

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Paper provided by HAL in its series PSE Working Papers with number halshs-00564887.

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Date of creation: Jun 2010
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Handle: RePEc:hal:psewpa:halshs-00564887
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  1. Philippe Jehiel & Benny Moldovanu, 1996. "Strategic Nonparticipation," RAND Journal of Economics, The RAND Corporation, vol. 27(1), pages 84-98, Spring.
  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, 06.
  3. Milgrom, Paul R & Weber, Robert J, 1982. "A Theory of Auctions and Competitive Bidding," Econometrica, Econometric Society, vol. 50(5), pages 1089-1122, September.
  4. Harry J. Paarsch & Stephen G. Donald & 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.
  5. 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.
  6. Guerre, E. & Perrigne, I. & Vuong, Q., 1995. "Nonparametric Estimation of First-Price Auctions," Papers 9504, Southern California - Department of Economics.
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