Essays On The Identification And Estimation Of Auction Models With Unobserved Heterogeneity
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Essays On The Identification And Estimation Of Auction Models With Unobserved Heterogeneity
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Author : Jorge Francisco Balat
language : en
Publisher:
Release Date : 2012
Essays On The Identification And Estimation Of Auction Models With Unobserved Heterogeneity written by Jorge Francisco Balat and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Essays On Empirical Auctions And Related Econometrics
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Author :
language : en
Publisher:
Release Date : 2014
Essays On Empirical Auctions And Related Econometrics written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
The first chapter studies identification and estimation of first-price auctions if the bidders face ambiguity about the distribution of valuations. Ambiguity is modeled using Gilboa and Schmeidler's (1989) Maxmin Expected Utility preferences. We exploit variation in the number of bidders to identify the essential primitives of the model. The identification result yields a closed form for the inverse bid function, which suggests a two-step estimation procedure. We study asymptotic and finite sample properties of the estimators. We find evidence of ambiguity in USFS timber auctions which leads to aggressive bidding for bidders with high valuations and has important implications for auction design. The second chapter proposes a procedure to test restrictions on infinite-dimensional parameters (partially) identified by unconditional or conditional moment equalities. Our new method allows us to test restrictions involving a continuum of inequalities. Examples of such restrictions include weakly increasing, concavity and first-order stochastic dominance. We show that our testing procedure controls size uniformly and has power approaching 1 against fixed alternatives. We conduct Monte Carlo Experiments to study the finite sample properties of our procedure. The third chapter studies the inference problem of bidders' risk attitudes in Independent Private Value (IPV) first-price auctions with multiplicative auction-level unobserved heterogeneity. Bidders are assumed to have Constant Relative Risk Aversion. Under the exclusion restriction that bidders randomly select themselves into auctions given the auction-level unobserved heterogeneity, bidders' CRRA coefficient is point-identified from bid data of auctions with at least two different number of active bidders. Our exclusion restriction is consistent with a variety of models with endogenous entry. Empirical application to USFS timber auctions shows that we will conclude that timber firms are risk averse if we ignoring the unobserved heterogeneity. But once we take the unobserved heterogeneity into account, risk neutrality is consistent with the data.
Essays On Structural Analysis Of Procurement Auctions
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Author : Bin Yu
language : en
Publisher:
Release Date : 2007
Essays On Structural Analysis Of Procurement Auctions written by Bin Yu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
This dissertation addresses the empirical analysis of procurements based on the auction theory, which is known as the structural-form analysis of procurement auctions.
Identification And Estimation Of Risk Aversion In First Price Auctions With Unobserved Auction Heterogeneity
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Author : Serafin Grundi
language : en
Publisher:
Release Date : 2016
Identification And Estimation Of Risk Aversion In First Price Auctions With Unobserved Auction Heterogeneity written by Serafin Grundi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Auctions categories.
This paper shows point identification in first-price auction models with risk aversion and unobserved auction heterogeneity by exploiting multiple bids from each auction and variation in the number of bidders. The required exclusion restriction is shown to be consistent with a large class of entry models. If the exclusion restriction is violated, but weaker restrictions hold instead, the same identification strategy still yields valid bounds for the primitives. We propose a sieve maximum likelihood estimator. A series of Monte Carlo experiments illustrate that the estimator performs well in finite samples and that ignoring unobserved auction heterogeneity can lead to a significant bias in risk-aversion estimates. In an application to U.S. Forest Service timber auctions we find that the bidders are risk neutral, but we would reject risk neutrality without accounting for unobserved auction heterogeneity.
Identification And Estimation Of Risk Aversion In First Price Auctions With Unobserved Auction Heterogeneity
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Author :
language : en
Publisher:
Release Date : 2016
Identification And Estimation Of Risk Aversion In First Price Auctions With Unobserved Auction Heterogeneity written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
This paper shows point identification in first-price auction models with risk aversion and unobserved auction heterogeneity by exploiting multiple bids from each auction and variation in the number of bidders. The required exclusion restriction is shown to be consistent with a large class of entry models. If the exclusion restriction is violated, but weaker restrictions hold instead, the same identification strategy still yields valid bounds for the primitives. We propose a sieve maximum likelihood estimator. A series of Monte Carlo experiments illustrate that the estimator performs well in finite samples and that ignoring unobserved auction heterogeneity can lead to a significant bias in risk-aversion estimates. In an application to U.S. Forest Service timber auctions we find that the bidders are risk neutral, but we would reject risk neutrality without accounting for unobserved auction heterogeneity.
Identification And Estimation Of Auction Model With Two Dimensional Unobserved Heterogeneity
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Author : Elena Krasnokutskaya
language : en
Publisher:
Release Date : 2012
Identification And Estimation Of Auction Model With Two Dimensional Unobserved Heterogeneity written by Elena Krasnokutskaya and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
This article investigates the empirical importance of allowing for multidimensional sources of unobserved heterogeneity in auction models with private information. It develops the estimation procedure to recover the distribution of private information in the presence of two sources of unobserved heterogeneity. It is shown that this estimation procedure identifies components of the model and produces uniformly consistent estimators of these components. The results of the estimation with highway procurement data indicate that allowing for two-dimensional unobserved heterogeneity may significantly affect the results of estimation as well as policy-relevant instruments derived from the estimated distributions of bidders' costs.
Essays On The Theory And Estimation Of Auction Models
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Author : Leonardo Rezende
language : en
Publisher:
Release Date : 2003
Essays On The Theory And Estimation Of Auction Models written by Leonardo Rezende and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Essays On Nonparametric Identification And Estimation Of All Pay Auctions And Contests
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Author : Ksenia Shakhgildyan
language : en
Publisher:
Release Date : 2019
Essays On Nonparametric Identification And Estimation Of All Pay Auctions And Contests written by Ksenia Shakhgildyan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
My dissertation contributes to the structural nonparametric econometrics of auctions and contests with incomplete information. It consists of three chapters. The first chapter investigates the identification and estimation of an all-pay auction where the object is allocated to the player with the highest bid, and every bidder pays his bid regardless of whether he wins or not. As a baseline model, I consider the setting, where one object is allocated among several risk-neutral participants with independent private values (IPV); however, I also show how the model can be extended to the multiunit case. Moreover, the model is not confined to the IPV paradigm, and I further consider the case where the bidders' private values are affiliated (APV). In both IPV and APV settings, I prove the identification and derive the consistent estimators of the distribution of the bidders' valuations using a structural approach similar to that of Guerre et al. (2000). Finally, I consider the model with risk-averse bidders. I prove that in general the model in this set-up is not identified even in the semi-parametric case where the utility function of the bidders is restricted to belong to the class of functions with constant absolute risk aversion (CARA). The second chapter proves the identification and derives the asymptotically normal estimator of a nonparametric contest of incomplete information with uncertainty. By uncertainty, I mean that the contest success function is not only determined by the bids of the players, but also by the variable, which I call uncertainty, with a nonparametric distribution, unknown to the researcher, but known to the bidders. This work is the first to consider the incomplete information contest with a nonparametric contest success function. The limiting case of the model when there is no uncertainty is an all-pay auction considered in the first chapter. The model with two asymmetric players is examined. First, I recover the distribution of uncertainty using the information on win outcomes and bids. Next, I adopt the structural approach of Guerre et al. (2000) to obtain the distribution of the bidders' valuations (or types). As an empirical application, I study the U.S. House of Representatives elections. The model provides a method to disentangle two sources of incumbency advantage: a better reputation, and better campaign financing. The former is characterized by the distribution of uncertainty and the latter by the difference in the distributions of candidates' types. Besides, two counterfactual analyses are performed: I show that the limiting expenditure dominates public campaign financing in terms of lowering total campaign spending as well as the incumbent's winning probability. The third chapter is a semiparametric version of the second chapter. In the case when the data is sparse, some restrictions on the nonparametric structure need to be put. In this work, I prove the identification and derive the consistent estimator of a contest of incomplete information, in which an object is allocated according to the serial contest success function. As in previous chapters, I recover the distribution of the bidders' valuations from the data on observed bids using a structural approach similar to that of Guerre et al. (2000) and He and Huang (2018). As a baseline model, I consider the symmetric contest. Further, the model is extended to account for the bidders' asymmetry.
Essays In Industrial Organization
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Author :
language : en
Publisher:
Release Date : 2014
Essays In Industrial Organization written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Chapter 1 Retail prices are volatile and decrease over time in many markets for differentiated durable goods. Consumers in these markets have an incentive to delay their purchase and wait for lower prices. This chapter uses a novel data set from a price alert service for TVs sold on Amazon.com to estimate substitution patterns across products and over time. Users of a price alert service submit a price threshold for a product they want to purchase and receive an alert when their threshold is reached. I estimate consumer preferences using a discrete/continuous-choice model in which the price threshold is the solution to an optimal stopping problem. The importance of taking dynamics into account is shown by comparing the own-price elasticities in the dynamic model to a counterfactual with myopic consumers and to estimates from a static model. Chapter 2 This chapter studies identification and estimation of first-price auctions if the bidders face ambiguity about the distribution of valuations. Ambiguity is modeled using Gilboa and Schmeidler's (1989) Maxmin Expected Utility preferences. We exploit variation in the number of bidders to identify the essential primitives of the model. The identification result yields a closed form for the inverse bid function, which suggests a two-step estimation procedure. We study asymptotic and finite sample properties of the estimators. We find evidence of ambiguity in USFS timber auctions which leads to aggressive bidding for bidders with high valuations and has important implications for auction design. Chapter 3 This chapter studies inference for first price auctions with risk averse bidders and an unobserved auction characteristic. Bidders are assumed to have Constant Relative Risk Aversion (CRRA). We exploit variation in the number of bidders to identify the primitives and show that our identifying assumption is compatible with common models of entry. We demonstrate that ignoring unobserved heterogeneity can lead to significant over-estimation of the CRRA coefficient.
Identification And Estimation In Highway Procurement Auctions Under Unobserved Auction Heterogeneity
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Author : Elena Krasnokutskaya
language : en
Publisher:
Release Date : 2005
Identification And Estimation In Highway Procurement Auctions Under Unobserved Auction Heterogeneity written by Elena Krasnokutskaya and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
This paper proposes a semi-parametric method to uncover the distribution of bidders' private information in the market for highway procurement when unobserved auction heterogeneity is present. I derive sufficient conditions under which the model is identified and show that the estimation procedure produces uniformly consistent estimators of the distributions in question. The estimation procedure is applied to data from Michigan highway procurement auctions. I estimate that 75% of the variation in bidders' costs may be attributed to the factors known to all bidders and only 25% may be generated by private information. My results suggest that failing to account for unobserved auction heterogeneity may lead to overestimating uncertainty that bidders face when submitting their bids. As a result both inefficiency of the auction mechanism and mark-ups over the bidders' costs may be overestimated.