Identification in auctions with selective entry
This paper considers nonparametric identification of a two-stage entry and bidding model for auctions which we call the Affiliated-Signal (AS) model. This model assumes that potential bidders have private values, observe imperfect signals of their true values prior to entry, and choose whether to undertake a costly entry process. The AS model is a theoretically appealing candidate for the structural analysis of auctions with entry: it accommodates a wide range of entry processes, in particular nesting the Levin and Smith (1994) and Samuelson (1985) models as special cases. To date, however, the model's identification properties have not been well understood. We establish identifcation results for the general AS model, using variation in factors affecting entry behaviour (such as potential competition or entry costs) to construct identified bounds on model fundamentals. If available entry variation is continuous, the AS model may be point identified; otherwise, it will be partially identified. We derive constructive identification results in both cases, which can readily be refined to produce the sharp identified set. We also consider policy analysis in environments where only partial identifcation is possible, and derive identified bounds on expected seller revenue corresponding to a wide range of counterfactual policies while accounting for endogenous and arbitrarily selective entry. Finally we establish that our core results extend to environments with asymmetric bidders and nonseparable auction-level unobserved heterogeneity.
|Date of creation:||30 Nov 2012|
|Contact details of provider:|| Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE|
Phone: (+44) 020 7291 4800
Fax: (+44) 020 7323 4780
Web page: http://cemmap.ifs.org.uk
More information through EDIRC
|Order Information:|| Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492 National Bureau of Economic Research, Inc.
- Tong Li & Xiaoyong Zheng, 2009.
"Entry and Competition Effects in First-Price Auctions: Theory and Evidence from Procurement Auctions,"
Review of Economic Studies,
Oxford University Press, vol. 76(4), pages 1397-1429.
- Tong Li & Xiaoyong Zheng, 2006. "Entry and competition effects in first-price auctions: theory and evidence from procurement auctions," CeMMAP working papers CWP13/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Samuelson, William F., 1985. "Competitive bidding with entry costs," Economics Letters, Elsevier, vol. 17(1-2), pages 53-57.
- Susan Athey & Jonathan Levin & Enrique Seira, 2011.
"Comparing open and Sealed Bid Auctions: Evidence from Timber Auctions,"
The Quarterly Journal of Economics,
Oxford University Press, vol. 126(1), pages 207-257.
- Susan Athey & Jonathan Levin & Enrique Seira, 2008. "Comparing Open and Sealed Bid Auctions: Evidence from Timber Auctions," Discussion Papers 08-012, Stanford Institute for Economic Policy Research.
- Susan Athey & Jonathan Levin & Enrique Seira, 2008. "Comparing Open and Sealed Bid Auctions: Evidence from Timber Auctions," NBER Working Papers 14590, National Bureau of Economic Research, Inc.
- Marmer, Vadim & Shneyerov, Artyom & Xu, Pai, 2013.
"What model for entry in first-price auctions? A nonparametric approach,"
Journal of Econometrics,
Elsevier, vol. 176(1), pages 46-58.
- Marmer, Vadim & Shneyerov, Artyom & Xu, Pai, 2007. "What Model for Entry in First-Price Auctions? A Nonparametric Approach," Microeconomics.ca working papers marmer-07-11-22-02-26-44, Vancouver School of Economics, revised 18 Feb 2011.
- Hu, Yingyao & McAdams, David & Shum, Matthew, 2013. "Identification of first-price auctions with non-separable unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 174(2), pages 186-193.
- Fan, Yanqin & Park, Sang Soo, 2009. "Partial identification of the distribution of treatment effects and its confidence sets," MPRA Paper 37148, University Library of Munich, Germany.
- Thierry Magnac & Eric Maurin, 2008.
"Partial Identification in Monotone Binary Models: Discrete Regressors and Interval Data,"
Review of Economic Studies,
Oxford University Press, vol. 75(3), pages 835-864.
- Thierry Magnac & Eric Maurin, 2004. "Partial Identification in Monotone Binary Models : Discrete Regressors and Interval Data," Working Papers 2004-11, Center for Research in Economics and Statistics.
- Thierry Magnac & Eric Maurin, 2008. "Partial Identification in Monotone Binary Models: Discrete Regressors and Interval Data," Post-Print halshs-00754272, HAL.
- Magnac, Thierry & Maurin, Eric, 2004. "Partial Identification in Monotone Binary Models: Discrete Regressors and Interval Data," IDEI Working Papers 280, Institut d'Économie Industrielle (IDEI), Toulouse, revised Jan 2005.
- Elie Tamer, 2003. "Incomplete Simultaneous Discrete Response Model with Multiple Equilibria," Review of Economic Studies, Oxford University Press, vol. 70(1), pages 147-165.
- Ye, Lixin, 2007. "Indicative bidding and a theory of two-stage auctions," Games and Economic Behavior, Elsevier, vol. 58(1), pages 181-207, January.
- Milgrom,Paul, 2004. "Putting Auction Theory to Work," Cambridge Books, Cambridge University Press, number 9780521536721.
- Milgrom,Paul, 2004. "Putting Auction Theory to Work," Cambridge Books, Cambridge University Press, number 9780521551847.
- Molinari, Francesca, 2008. "Partial identification of probability distributions with misclassified data," Journal of Econometrics, Elsevier, vol. 144(1), pages 81-117, May.
- Molinari, Francesca, 2005. "Partial Identification of Probability Distributions with Misclassified Data," Working Papers 05-10, Cornell University, Center for Analytic Economics.
- Li, Tong & Zheng, Xiaoyong, 2012. "Information acquisition and/or bid preparation: A structural analysis of entry and bidding in timber sale auctions," Journal of Econometrics, Elsevier, vol. 168(1), pages 29-46.
- Levin, Dan & Smith, James L, 1994. "Equilibrium in Auctions with Entry," American Economic Review, American Economic Association, vol. 84(3), pages 585-599, June.
- Xun Tang, 2011. "Bounds on revenue distributions in counterfactual auctions with reserve prices," RAND Journal of Economics, RAND Corporation, vol. 42(1), pages 175-203, March.
- Matthew Shum, 2000. "Nonparametric Tests for Common Values," Econometric Society World Congress 2000 Contributed Papers 1598, Econometric Society. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:ifs:cemmap:38/12. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Emma Hyman)
If references are entirely missing, you can add them using this form.