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The econometrics of auctions with asymmetric anonymous bidders

  • Laurent Lamy

    (EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris, PSE - Paris-Jourdan Sciences Economiques - CNRS : UMR8545 - École des Hautes Études en Sciences Sociales (EHESS) - École des Ponts ParisTech (ENPC) - École normale supérieure [ENS] - Paris)

We consider standard auction models when bidders' identities are not observed by the econometrician. First, we adapt the definition of identifiability to a framework with anonymous bids and we explore the extent to which anonymity reduces the possibility to identify private value auction models. Second, in the asymmetric independent private value model which is nonparametrically identified, we generalize Guerre, Perrigne and Vuong's estimation procedure [Optimal Nonparametric Estimation of First-Price Auctions, Econometrica 68 (2000) 525-574] and study the asymptotic properties of our multi-step kernel-based estimator. Third a test for symmetry is proposed. Monte Carlo simulations illustrate the practical relevance of our estimation and testing procedures for small data sets.

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Paper provided by HAL in its series PSE Working Papers with number halshs-00586039.

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Date of creation: Nov 2008
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Handle: RePEc:hal:psewpa:halshs-00586039
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  1. Athey, S., 1997. "Sigle Crossing Properties and the Existence of Pure Strategy Equilibria in Games of Incomplete Information," Working papers 97-11, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. Lamy, Laurent, 2009. "The Shill Bidding Effect versus the Linkage Principle," Journal of Economic Theory, Elsevier, vol. 144(1), pages 390-413, January.
  3. Philip A. Haile & Han Hong & Matthew Shum, 2003. "Nonparametric Tests for Common Values in First-Price Sealed-Bid Auctions," Cowles Foundation Discussion Papers 1445, Cowles Foundation for Research in Economics, Yale University.
  4. Guerre, E. & Perrigne, I. & Vuong, Q., 1995. "Nonparametric Estimation of First-Price Auctions," Papers 9504, Southern California - Department of Economics.
  5. Sailer, Katharina, 2006. "Searching the eBay Marketplace," Discussion Papers in Economics 1234, University of Munich, Department of Economics.
  6. Sandra Campo & Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2003. "Semiparametric Estimation of First-price Auctions with Risk Averse Bidders," Working Papers 2003-09, Centre de Recherche en Economie et Statistique.
  7. Van den Berg, Gerard J., 2001. "Duration models: specification, identification and multiple durations," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 55, pages 3381-3460 Elsevier.
  8. Véronique Flambard & Isabelle Perrigne, 2006. "Asymmetry in Procurement Auctions: Evidence from Snow Removal Contracts," Economic Journal, Royal Economic Society, vol. 116(514), pages 1014-1036, October.
  9. Robert H. Porter & J. Douglas Zona, 1999. "Ohio School Milk Markets: An Analysis of Bidding," RAND Journal of Economics, The RAND Corporation, vol. 30(2), pages 263-288, Summer.
  10. Maskin, Eric & Riley, John, 2000. "Asymmetric Auctions," Review of Economic Studies, Wiley Blackwell, vol. 67(3), pages 413-38, July.
  11. Baldwin, Laura H & Marshall, Robert C & Richard, Jean-Francois, 1997. "Bidder Collusion at Forest Service Timber Sales," Journal of Political Economy, University of Chicago Press, vol. 105(4), pages 657-99, August.
  12. Matthew Shum, 2000. "Nonparametric Tests for Common Values," Econometric Society World Congress 2000 Contributed Papers 1598, Econometric Society.
  13. Michael Landsberger & Jacob Rubinstein & Elmar Wolfstetter & Shmuel Zamir, 1999. "First-Price Auctions when the Ranking of Valuations is Common Knowledge," Working Papers 99-18, Centre de Recherche en Economie et Statistique.
  14. Athey,S. & Haile,P.A., 2000. "Identification of standard auction models," Working papers 13, Wisconsin Madison - Social Systems.
  15. Pesendorfer, Martin, 2000. "A Study of Collusion in First-Price Auctions," Review of Economic Studies, Wiley Blackwell, vol. 67(3), pages 381-411, July.
  16. Harry J. Paarsch & Han Hong, 2006. "An Introduction to the Structural Econometrics of Auction Data," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262162350, June.
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