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.
|Date of creation:||Dec 2010|
|Date of revision:|
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Web page: http://cei.ier.hit-u.ac.jp/
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- Wolfgang Pesendorfer & Jeroen M. Swinkels, 1995.
"The Loser's Curse and Information Aggregation in Common Value Auctions,"
1147, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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Discussion Papers in Economics
06/16, Department of Economics, University of Leicester.
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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.
- Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
- Hong, Han & Shum, Matthew, 2004.
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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.
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