Identification Estimation And Testing Of Auction Models
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Identification Estimation And Testing Of Auction Models
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Author : Jie Wei
language : en
Publisher:
Release Date : 2014
Identification Estimation And Testing Of Auction Models written by Jie Wei and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Auctions categories.
The third chapter shows nonparametric identification and estimation of private value distribution and density functions in first-price auctions with endogenous entry. In the model, symmetric bidders face a nontrivial entry cost and a binding reserve price. We identify latent structures by solving a two stage game, and estimate density functions (point-wisely) by using and comparing two different methods. Monte Carlo experiments show good performance of our estimators.
Identification Estimation And Testing In Empirical Models Of Auctions Within The Independent Private Values Paradigm
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Author : Donald, Stephen G
language : en
Publisher: London, Ont. : Department of Economics, University of Western Ontario
Release Date : 1993
Identification Estimation And Testing In Empirical Models Of Auctions Within The Independent Private Values Paradigm written by Donald, Stephen G and has been published by London, Ont. : Department of Economics, University of Western Ontario this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.
Identification And Estimation Of Auction Models With A Random Number Of Bidders
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Author :
language : en
Publisher:
Release Date : 2013
Identification And Estimation Of Auction Models With A Random Number Of Bidders written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This dissertation is a collection of three chapters on structural analysis of auctions. The first chapter studies nonparametric identification of the distribution of bidder valuations in auctions where valuations are independently and symmetrically distributed, the number of bidders follows a Poisson distribution, and the number is not known to the bidders. I consider both first and second-price sealed bid auctions. If the data set consists of all auctions, including auctions with no bids or only one bid, then I show that data on either the first or second highest bid is sufficient for the model to be identified. If the data set does not include auctions with no bids and only the highest bids are observed, then information on the number of bidders is also needed for identification. In the second chapter, I develop a method for identifying and estimating a dynamic model of auctions like eBay. The market is modeled as an infinite sequence of second-price, sealed bid auctions of a homogenous good. Bidders arrive randomly and, upon arrival, they enter a pool of potential bidders. The actual bidders in an auction are drawn randomly from the pool. Conditional on bidding, a bidder exits if she wins and returns to the pool if she loses. Then bidders in the pool exit with some probability each period. I define and solve for the oblivious equilibrium (Weintraub et al. (2008)). I prove the stochastic stability and the existence of an equilibrium. The equilibrium yields a closed form solution for the bid function in which bidders shade their bids by their continuation values. I demonstrate that the model is identified (modulo the discount factor) from the data of bidder identities and the second highest bid. Based on the identification result, an estimation procedure is developed. In the third chapter I apply the model to a data from a Japanese online auction website. The estimation results suggest that market dynamics are important. The estimate of the valuations obtained when each auction is treated independently is 23% smaller than the estimates obtained from the dynamic model.
Identification Of Standard Auction Models
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Author : Susan Athey
language : en
Publisher:
Release Date : 2013
Identification Of Standard Auction Models written by Susan Athey and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
We present new identification results for models of first-price, second-price, ascending (English), and descending (Dutch) auctions. We analyze a general specification of bidders' preferences and the underlying information structure, nesting as special cases the pure private values and pure common values models, and allowing both ex ante symmetric and asymmetric bidders. We address identification of a series of such models and propose strategies for discriminating between them on the basis of observed data. In the simplest case, the symmetric independent private values model is nonparametrically identified even if only the transaction price from each auction is observed. For more complex models, we provide conditions for identification and testing when additional information of one of the following types is available: (i) one or more bids in addition to the transaction price; (ii) exogenous variation in the number of bidders; (iii) bidder-specific covariates that shift the distribution of valuations; (iv) the ex post realization of the value of the object sold. Our results include new tests that distinguish between private and common values models.
Estimation And Testing Of Structural Parametric Sealed Bid Auctions
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Author : Samita Sareen
language : en
Publisher:
Release Date : 2000
Estimation And Testing Of Structural Parametric Sealed Bid Auctions written by Samita Sareen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
In this thesis I examine various aspects of structural parametric sealed-bid auctions. Structural models are attractive to estimate because they allow the econometrician to recover the parameters of the private signals of the bidders. These parameters can be used to simulate different auction forms enabling a seller to compare her expected revenue from these and determine which one is optimal. Estimation and testing of structural parametric auction models is difficult since the support of the data depends on the parameters of the distribution of the private signals of the bidders; standard asymptotic theory breaks down in this scenario. This thesis takes a Bayesian approach to estimation and testing of structural auction models since the Bayesian approach is unaffected by the dependence of the support on the parameters. In the first chapter, I develop a posterior odds ratio method to decide whether the symmetric parametric structural common-value or the independent private-values model is more probable once data on winning bids is observed. This method is applied to the low-price, sealed-bid auctions conducted by the Indian Oil Corporation to purchase crude-oil from the international market. In the first chapter I had data on winning bids across auctions; I was unable to obtain data on bids. In the second chapter I examine whether an empirical researcher is 'always' losing expected information about the parameters of the distribution of the private signals of the bidders when she has data only on winning bids across auctions. I then provide a ' link' between the loss of expected information in having data on just the winning bids instead of all the bids, and specification of reference priors under the two scenarios. In the third chapter I provide a statistical analysis of the bidding decision of the sawmills participating in the sales conducted by the county of Simcoe in Southern Ontario for standing timber in the woodlots that it owns. These auctions violate key assumptions made in Chapters 1 and 2: a ' single', indivisible object is auctioned; bidders are symmetric and they bid 'competitively'.
Nonparametric Identication And Structural Estimation Of Auction Models
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Author : Ming He
language : en
Publisher:
Release Date : 2016
Nonparametric Identication And Structural Estimation Of Auction Models written by Ming He and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Auction theory categories.
This dissertation contributes to the structural auction literature in two different auction models, namely the pure common value model and the affiliated private value model. The goal of structural analysis of auction data is to recover the model primitives and to provide policy guidance for welfare analysis. In Chapter 1, we study identification in the first-price and the second-price sealed-bid auctions within the pure common value framework. In Chapter 2, we apply the identification results and estimation method in Chapter 1 to analyze the U.S. Outer Continental Shelf (OCS) wildcat auction data and provide policy guidance for welfare analysis. In Chapter 3, we develop identification and partial identification results for the first-price and the second-price sealed-bid auction models with affiliated private values and incomplete sets of bids. Chapter 1: In this chapter, we establish novel identification results for both the first-price and the second-price sealed-bid auction models within the pure common value framework. We show that the policy parameters, including the expected total welfare, the seller's expected revenue, and the bidders' expected surplus under any reserve price are identified for a general nonparametric class of latent joint distributions when the ex-post common value is unobserved. Moreover, we establish that these policy parameters are nonparametric identified without normalization assumption when the ex-post common value is observed. We propose a semiparametric estimation method and establish consistency of the estimator. Results from Monte Carlo experiments reveal good finite sample performance of the estimator. Chapter 2: In this chapter, we employ the identification strategy and estimation method in Chapter 1 to analyze data from the U.S. Outer Continental Shelf (OCS) wildcat auctions in the pure common value framework. We study the welfare implication of different counterfactual reserve prices, focusing on the cases with two and three bidders. The empirical results suggest that if the U.S. government had set reserve prices optimally using the newly-developed econometric method in Chapter 1, its expected revenue can be increased by around $34\%$ and $30\%$ for these two cases, respectively. Lastly, we compare our results with those estimated under the affiliated private value framework, and find that the estimated welfare curves under the two different frameworks are very different. Chapter 3: In this chapter, we address the identification issue in the first-price sealed-bid affiliated private value model when an incomplete set of bids is observed. In the simple case with symmetric bidders and non-binding reserve price, we establish identification or partial identification results in two scenarios of practical interest. First, when the two highest bids are observed, we achieve identification of the joint distribution function of private values by assuming the copula function of private values to be a nonparametric Archimedean copula with weak requirement. Second, when only the highest bid is observed, we establish partial identification for the quantile function of private value and several policy parameters by parameterizing the copula function. Further, we extend the identification/partial identification results to the cases with asymmetric bidders and/or binding reserve price. We also extend our identification/partial identification results to the second-price sealed-bid auction.
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.
Modeling Online Auctions
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Author : Wolfgang Jank
language : en
Publisher: John Wiley & Sons
Release Date : 2010-12-01
Modeling Online Auctions written by Wolfgang Jank and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-01 with Mathematics categories.
Explore cutting-edge statistical methodologies for collecting, analyzing, and modeling online auction data Online auctions are an increasingly important marketplace, as the new mechanisms and formats underlying these auctions have enabled the capturing and recording of large amounts of bidding data that are used to make important business decisions. As a result, new statistical ideas and innovation are needed to understand bidders, sellers, and prices. Combining methodologies from the fields of statistics, data mining, information systems, and economics, Modeling Online Auctions introduces a new approach to identifying obstacles and asking new questions using online auction data. The authors draw upon their extensive experience to introduce the latest methods for extracting new knowledge from online auction data. Rather than approach the topic from the traditional game-theoretic perspective, the book treats the online auction mechanism as a data generator, outlining methods to collect, explore, model, and forecast data. Topics covered include: Data collection methods for online auctions and related issues that arise in drawing data samples from a Web site Models for bidder and bid arrivals, treating the different approaches for exploring bidder-seller networks Data exploration, such as integration of time series and cross-sectional information; curve clustering; semi-continuous data structures; and data hierarchies The use of functional regression as well as functional differential equation models, spatial models, and stochastic models for capturing relationships in auction data Specialized methods and models for forecasting auction prices and their applications in automated bidding decision rule systems Throughout the book, R and MATLAB software are used for illustrating the discussed techniques. In addition, a related Web site features many of the book's datasets and R and MATLAB code that allow readers to replicate the analyses and learn new methods to apply to their own research. Modeling Online Auctions is a valuable book for graduate-level courses on data mining and applied regression analysis. It is also a one-of-a-kind reference for researchers in the fields of statistics, information systems, business, and marketing who work with electronic data and are looking for new approaches for understanding online auctions and processes. Visit this book's companion website by clicking here
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.
Handbook Of Econometrics
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Author : James Joseph Heckman
language : en
Publisher: Elsevier
Release Date : 2007
Handbook Of Econometrics written by James Joseph Heckman and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Econometrics categories.
As conceived by the founders of the Econometric Society, econometrics is a field that uses economic theory and statistical methods to address empirical problems in economics. It is a tool for empirical discovery and policy analysis. The chapters in this volume embody this vision and either implement it directly or provide the tools for doing so. This vision is not shared by those who view econometrics as a branch of statistics rather than as a distinct field of knowledge that designs methods of inference from data based on models of human choice ...