Identification And Estimation Of Auction Model With Two Dimensional Unobserved Heterogeneity
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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 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.
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.
Nonparametric Identification Of First Price Auctions With Non Separable Unobserved Heterogeneity
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Author : David McAdams
language : en
Publisher:
Release Date : 2010
Nonparametric Identification Of First Price Auctions With Non Separable Unobserved Heterogeneity written by David McAdams and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
We propose a novel methodology for nonparametric identification of first-price auction models with independent private values, which allows for one-dimensional auction-specific unobserved heterogeneity, based on recent results from the econometric literature on nonclassical measurement error in Hu and Schennach (2008). Our approach can accommodate a wide variety of applications in which some location of the conditional distribution of bids (e.g. min or max of the support, mean, etc.) is increasing in the unobserved heterogeneity. This includes settings in which the econometrician fails to observe the reserve price, the cost of bidding, the number of bidders, or some factor (“quality”) with a non-linear effect on bidder values.
Issues In Regional Economics 2013 Edition
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Author :
language : en
Publisher: ScholarlyEditions
Release Date : 2013-05-01
Issues In Regional Economics 2013 Edition written by and has been published by ScholarlyEditions this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-01 with Business & Economics categories.
Issues in Regional Economics / 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Japanese Economy. The editors have built Issues in Regional Economics: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Japanese Economy in this book to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in Regional Economics: 2013 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.
Identifying Demand In Ebay Auctions
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Author : Federal Trade Commission
language : en
Publisher: CreateSpace
Release Date : 2014-09-28
Identifying Demand In Ebay Auctions written by Federal Trade Commission and has been published by CreateSpace this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-09-28 with Business & Economics categories.
This book presents assumptions and identification results for eBay type auctions. These results are for private value auctions covering three major issues; censoring bias, auction heterogeneity and dynamic bidding. The first section of the book presents two identification results for second price open call auctions with private values and unobserved participation (eBay type auctions). The second section presents identification results for eBay type auctions that have either observed bidder heterogeneity, observed and unobserved item heterogeneity or unobserved auction heterogeneity. In particular it is shown that a traditional demand estimation model is identified. The third section presents identification results when bidders face an infinite sequence of eBay type auctions for a single item.
Identifying Demand In Ebay Auctions
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Author : Christopher Adams
language : en
Publisher:
Release Date : 2015
Identifying Demand In Ebay Auctions written by Christopher Adams and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
This paper presents assumptions and identification results for eBay type auctions. These results are for private value auctions covering three major issues; censoring bias, auction heterogeneity and dynamic bidding. The first section of the paper presents two identification results for second price open call auctions with private values and unobserved participation (eBay type auctions). The second section presents identification results for eBay type auctions that have either observed bidder heterogeneity, observed and unobserved item heterogeneity or unobserved auction heterogeneity. In particular it is shown that a traditional demand estimation model is identified. The third section presents identification results when bidders face an infinite sequence of eBay type auctions for a single item.
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.