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Are there common values in first-price auctions? A tail-index nonparametric test

Hill, Jonathan B.; Shneyerov, Artyom - In: Journal of Econometrics 174 (2013) 2, pp. 144-164

unobserved auction heterogeneity of an arbitrary form. We develop a Hill (1975)-type tail index estimator and find the presence …

Persistent link: https://www.econbiz.de/10010664700

Quantile-based nonparametric inference for first-price auctions

Marmer, Vadim; Shneyerov, Artyom - In: Journal of Econometrics 167 (2012) 2, pp. 345-357

We propose a quantile-based nonparametric approach to inference on the probability density function (PDF) of the private values in first-price sealed-bid auctions with independent private values. Our method of inference is based on a fully nonparametric kernel-based estimator of the quantiles...

Persistent link: https://www.econbiz.de/10011052272

Risk aversion and asymmetry in procurement auctions: Identification, estimation and application to construction procurements

Campo, Sandra - In: Journal of Econometrics 168 (2012) 1, pp. 96-107

This article studies a model of asymmetric risk averse bidding within the independent private value paradigm. The inherent asymmetry in cost and risk aversion imposes an original restriction on the observed bid data, an exact equality which leads to the model semiparametric identification and...

Persistent link: https://www.econbiz.de/10010577506

Semi-nonparametric estimation of independently and identically repeated first-price auctions via an integrated simulated moments method

Bierens, Herman J.; Song, Hosin - In: Journal of Econometrics 168 (2012) 1, pp. 108-119

-price auction model, and an data-driven method for the choice of the sieve order. Finally, we conduct a few numerical experiments to …

Persistent link: https://www.econbiz.de/10010574063

Inference of bidders’ risk attitudes in ascending auctions with endogenous entry

Fang, Hanming; Tang, Xun - In: Journal of Econometrics 180 (2014) 2, pp. 198-216

Bidders’ risk attitudes have key implications for the choices of revenue-maximizing auction formats. In ascending … report entry costs but contains exogenous variation in potential competition and auction characteristics. We also show the …

Persistent link: https://www.econbiz.de/10010776913

Identification of first-price auctions with non-separable unobserved heterogeneity

Hu, Yingyao; McAdams, David; Shum, Matthew - In: Journal of Econometrics 174 (2013) 2, pp. 186-193

We propose a novel methodology for identification of first-price auctions, when bidders’ private valuations are independent conditional on one-dimensional unobserved heterogeneity. We extend the existing literature (Li and Vuong, 1998; Krasnokutskaya, 2011) by allowing the unobserved heterogeneity...

Persistent link: https://www.econbiz.de/10011052233

The econometrics of auctions with asymmetric anonymous bidders

Lamy, Laurent - In: Journal of Econometrics 167 (2012) 1, pp. 113-132

We consider standard auction models when bidders’ identities are not–or are only partially–observed by the … anonymity reduces the possibility of identifying private value auction models. Second, in the asymmetric independent private …

Persistent link: https://www.econbiz.de/10010577510

Empirical implementation of nonparametric first-price auction models

Henderson, Daniel J.; List, John A.; Millimet, Daniel L.; … - In: Journal of Econometrics 168 (2012) 1, pp. 17-28

Nonparametric estimators provide a flexible means of uncovering salient features of auction data. Although these … provide several suggestions for nonparametric estimation of first-price auction models. Specifically, we show how to impose … monotonicity of the equilibrium bidding strategy; a key property of structural auction models not guaranteed in standard …

Persistent link: https://www.econbiz.de/10010574086

What model for entry in first-price auctions? A nonparametric approach

Marmer, Vadim; Shneyerov, Artyom; Xu, Pai - In: Journal of Econometrics 176 (2013) 1, pp. 46-58

We develop a selective entry model for first-price auctions that nests two polar models often estimated in the empirical literature on auctions, Levin and Smith (1994), and Samuelson (1985). The selective entry model features a pro-competitive selection effect. The selection effect is shown to...

Persistent link: https://www.econbiz.de/10010679101

Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation

Hubbard, Timothy P.; Li, Tong; Paarsch, Harry J. - In: Journal of Econometrics 168 (2012) 1, pp. 4-16

Within the affiliated private-values paradigm, we develop a tractable empirical model of equilibrium behaviour at first-price, sealed-bid auctions. The model is non-parametrically identified, but the rate of convergence in estimation is slow when the number of bidders is even moderately large,...

Persistent link: https://www.econbiz.de/10011052238