Structural Analysis Of Auction Data With An Unknown Number Of Bidders
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Structural Analysis Of Auction Data With An Unknown Number Of Bidders
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Author : Unjy Song
language : en
Publisher:
Release Date : 2004
Structural Analysis Of Auction Data With An Unknown Number Of Bidders written by Unjy Song and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Essays On The Structural Analysis Of Auction Markets
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Author : Marleen Renske Marra
language : en
Publisher:
Release Date : 2019
Essays On The Structural Analysis Of Auction Markets written by Marleen Renske Marra 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.
This thesis presents new results that make significant contributions to the structural analysis of auction markets. One chapter develops a methodology to study welfare and revenue impacts of fees in auction platforms. The impacts of fees are theoretically ambiguous as the platform faces a ``two-sided market'' with network effects; increased seller entry raises its value to bidders, and vice versa. The chapter develops and solves a structural model with endogenous bidder and seller entry, seller selection, and costly listing inspection. It also exploits an original dataset with 15 months of wine auctions to study these issues. Relevant model primitives are shown to be identified in the auction platform model from observed variation in reserve prices, transaction prices, and the number of bidders. The proposed estimation strategy combines methods from the auction and discrete choice literatures. Model estimates reveal significant network effects, and it is shown with counterfactual policy simulations that fee structures that subsidize bidders make all parties better off. Implications for competition policy are discussed as well. Another chapter focuses on nonparametric identification in English auctions with absentee bidding, in which the number of bidders is unknown. The chapter exploits additional identifying variation from drop-out values of absentee bidders and develops a novel nonparametric identification approach based on the stochastic spacing of order statistics. In combination with a shape restriction the method delivers bounds on both the latent valuation distribution and expected consumer surplus. The value of the proposed method is highlighted by showing that it identifies informative bounds on policy-relevant model primitives in a sample of traditional English auctions collected from the online bidding portal of Sotheby's, which does not contain the number of bidders and their final bids. The thesis ends by providing directions for future research.
An Introduction To The Structural Econometrics Of Auction Data
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Author : Harry J. Paarsch
language : en
Publisher: MIT Press
Release Date : 2006
An Introduction To The Structural Econometrics Of Auction Data written by Harry J. Paarsch and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business & Economics categories.
Accompanying CD-ROM contains data and sample computer code for empirical problems.
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 ...
Handbook Of Econometrics
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Author : Zvi Griliches
language : en
Publisher: Elsevier
Release Date : 1983
Handbook Of Econometrics written by Zvi Griliches and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983 with Business & Economics categories.
The Handbook is a definitive reference source and teaching aid for econometricians. It examines models, estimation theory, data analysis and field applications in econometrics.
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.
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.
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
Are Structural Estimates Of Auction Models Reasonable Evidence Form Experimental Data
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Author : Patrick L. Bajari
language : en
Publisher:
Release Date : 2003
Are Structural Estimates Of Auction Models Reasonable Evidence Form Experimental Data written by Patrick L. Bajari 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.
Auction Theory
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Author : Vijay Krishna
language : en
Publisher: Academic Press
Release Date : 2002-03-13
Auction Theory written by Vijay Krishna and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-03-13 with Business & Economics categories.
"Vijay Krishna's book provides a very thorough and patient presentation of auction theory, starting from the most basic analysis and graduating to sophisticated, state of the art theory, including multi-unit auctions. This book covers a very wide range of auction topics, providing a clear and accessible treatment. The theory is presented in a careful and easily understood style accessible to honors undergraduates as well as all economics graduate students. Krishna's book will certainly become the central book on auction theory." --R. Preston McAfee, Murray S. Johnson Chair in Economics, University of Texas "This book not only sets out much of the theoretical literature on auctions-including results that are very recent-but does so with a clarity, elegance, and rigor that is characteristic of Vijay Krishna's work." --Eric Maskin, A.O. Hirschman Professor of Social Science, Institute for Advanced Study, Princeton, New Jersey "The book gives a superb presentation of auction theory, with clear and concise proofs of all results. It is essential reading for any serious student of auctions." --Peter Cramton, Professor of Economics, University of Maryland "This is the book we have been waiting for: a high level treatment of auction theory that carefully presents the technical details necessary for an in depth understanding of the main themes of auction theory, ideal as a basis for a graduate course, and by an author who has himself made important contributions to the subject." --Paul Klemperer, Edgeworth Professor of Economics, Nuffield College, University of Oxford, United Kingdom Through accessible, detailed examinations of themes central to auction theory, Vijay Krishna explores auctions and competitive bidding as games of incomplete information. His results on bidding strategies, efficiency, and revenue maximization and his clear proofs for each proposition make this book both the standard reference on auctions and the first source of authoritative information about multiunit auctions. Well organized and featuring straightforward intuition, Auction Theory's depth and breadth lay bare the complexity and utility of this growing field.