Jump to ContentJump to Main Navigation
Show Summary Details
Weitere Optionen …

Journal of Econometric Methods

Hrsg. v. Giacomini, Raffaella / Li, Tong


Mathematical Citation Quotient (MCQ) 2018: 0.06

Online
ISSN
2156-6674
Alle Formate und Preise
Weitere Optionen …

How Accurately Do Structural Asymmetric First-Price Auction Estimates Represent True Valuations?

Kirill Chernomaz / Hisayuki YoshimotoORCID iD: https://orcid.org/0000-0001-9514-2711
Online erschienen: 24.09.2019 | DOI: https://doi.org/10.1515/jem-2017-0001

Abstract

Structural asymmetric first-price auction estimation methods have provided numerous empirical studies. However, due to the latent nature of underlying valuations, the accuracy of estimates is not feasibly testable with field data, a fact that could inhibit empirical auction market designs and applications based on structural estimates. To assess their accuracy, we provide an analysis of estimates derived from experimental asymmetric auction data, in which researchers observe valuations. We test the null of statistical equivalence between the estimated and true value distributions against the alternative of non-equivalence. When advanced models are used, the Modified Kolmogorov-Smirnov test fails to reject the distributional equivalence, supporting structural asymmetric auction estimations for auction market studies. In addition, recovered efficiencies have plus-minus 2.5 percent precision, compared to the true efficiencies.

Dieser Artikel bietet Zusatzmaterial am Ende der Seite.

Keywords: asymmetric auction; risk aversion; semi/nonparametric estimation; structural auction estimation

JEL Classification: C13; D44

References

  • Akaike, Hirotogu. 1998. “Information Theory and an Extension of the Maximum Likelihood Principle.” In Selected Papers of Hirotugu Akaike, 199–213, Springer.Google Scholar

  • Asker, John. 2010. “A Study of the Internal Organization of a Bidding Cartel.” American Economic Review 100: 724–762.Web of ScienceCrossrefGoogle Scholar

  • Athey, Susan, Jonathan Levin, and Enrique Seira. 2011. “Comparing Open and Sealed Bid Auctions: Evidence from Timber Auctions.” Quarterly Journal of Economics 126: 207–257.Web of ScienceCrossrefGoogle Scholar

  • Bajari, Patrick, and Lixin Ye. 2003. “Deciding between Competition and Collusion.” Review of Economics and Statistics 85: 971–989.CrossrefGoogle Scholar

  • Bajari, Patrick, and Ali Hortaçsu. 2005. “Are Structural Estimates of Auction Models Reasonable? Evidence from Experimental Data.” Journal of Political Economy 113: 703–741.CrossrefGoogle Scholar

  • Balat, Jorge. 2012. “Highway Procurement and the Stimulus Package: Identification and Estimation of Dynamic Auctions with Unobserved Heterogeneity.” Technical report, Working paper.Google Scholar

  • Campo, Sandra. 2012. “Risk Aversion and Asymmetry in Procurement Auctions: Identification, Estimation and Application to Construction Procurements.” Journal of Econometrics 168: 96–107.CrossrefWeb of ScienceGoogle Scholar

  • Campo, Sandra, Isabelle Perrigne, and Quang Vuong. 2003. “Asymmetry in First-Price Auctions with Affiliated Private Values.” Journal of Applied Econometrics 18: 179–207.CrossrefGoogle Scholar

  • Campo, Sandra, Emmanuel Guerre, Isabelle Perrigne, and Quang Vuong. 2011. “Semiparametric Estimation of First-Price Auctions with Risk-Averse Bidders.” Review of Economic Studies 78: 112–147.Web of ScienceCrossrefGoogle Scholar

  • Cantillon, Estelle. 2008. “The Effect of Bidders’ Asymmetries on Expected Revenue in Auctions.” Games and Economic Behavior 62: 1–25.CrossrefWeb of ScienceGoogle Scholar

  • Chen, Xiaohong. 2007. “Large Sample Sieve Estimation of Semi-Nonparametric Models.” Handbook of Econometrics 6: 5549–5632.CrossrefWeb of ScienceGoogle Scholar

  • Chernomaz, Kirill. 2012. “On the Effects of Joint Bidding in Independent Private Value Auctions: An Experimental Study.” Games and Economic Behavior 76: 690–710.CrossrefWeb of ScienceGoogle Scholar

  • De Silva, Dakshina G., Timothy Dunne, and Georgia Kosmopoulou. 2003. “An Empirical Analysis of Entrant and Incumbent Bidding in Road Construction Auctions.” Journal of Industrial Economics 51: 295–316.CrossrefGoogle Scholar

  • Donald, Stephen G., and Harry J. Paarsch. 1993. “Piecewise Pseudo-Maximum Likelihood Estimation in Empirical Models of Auctions.” International Economic Review 34: 121–148.CrossrefGoogle Scholar

  • Donald, Stephen G., and Harry J. Paarsch. 1996. “Identification, Estimation, and Testing in Parametric Empirical Models of Auctions Within the Independent Private Values Paradigm.” Econometric Theory 12: 517–567.CrossrefGoogle Scholar

  • Doraszelski, Ulrich, Gregory Lewis, and Ariel Pakes. 2018. “Just Starting Out: Learning and Equilibrium in a New Market.” American Economic Review 108: 565–615.CrossrefWeb of ScienceGoogle Scholar

  • Dyer, Douglas, John H. Kagel, and Dan Levin. 1989. “Resolving Uncertainty about the Number of Bidders in Independent Private-Value Auctions: An Experimental Analysis.” The RAND Journal of Economics 20: 268–279.CrossrefGoogle Scholar

  • Elyakime, Bernard, Jean Jacques Laffont, Patrice Loisel, and Quang Vuong. 1994. “First-Price Sealed-Bid Auctions with Secret Reservation Prices.” Annales d’Economie et de Statistique 34: 115–141.Google Scholar

  • Ertaç, Seda, Ali Hortaçsu, and James W. Roberts. 2011. “Entry into Auctions: An Experimental Analysis.” International Journal of Industrial Organization 29: 168–178.CrossrefWeb of ScienceGoogle Scholar

  • Flambard, Véronique, and Isabelle Perrigne. 2006. “Asymmetry in Procurement Auctions: Evidence from Snow Removal Contracts.” Economic Journal 116: 1014–1036.CrossrefGoogle Scholar

  • Gentry, Matthew, and Tong Li. 2014. “Identification in Auctions with Selective Entry.” Econometrica 82: 315–344.Web of ScienceCrossrefGoogle Scholar

  • Gentry, Matthew L., Tong Li, and Jingfeng Lu. 2015. “Identification and Estimation in First-Price Auctions with Risk-Averse Bidders and Selective Entry.” Available at SSRN 2587812.

  • Gentry, Matthew L., Timothy P. Hubbard, Denis Nekipelov, and Harry J. Paarsch . 2018. “Structural Econometrics of Auctions: A Review.” Foundations and Trends® in Econometrics 9: 79–302.CrossrefGoogle Scholar

  • Guerre, Emmanuel, Isabelle Perrigne, and Quang Vuong. 2000. “Optimal Nonparametric Estimation of First-Price Auctions.” Econometrica 68: 525–574.CrossrefGoogle Scholar

  • Guerre, Emmanuel, Isabelle Perrigne, and Quang Vuong. 2009. “Nonparametric Identification of Risk Aversion in First-Price Auctions Under Exclusion Restrictions.” Econometrica 77: 1193–1227.CrossrefWeb of ScienceGoogle Scholar

  • Haile, Philip A., Han Hong, and Matthew Shum. 2003. “Nonparametric Tests for Common Values at First-Price Sealed-Bid Auctions.” Technical Report, National Bureau of Economic Research.Google Scholar

  • Hendricks, Kenneth, Joris Pinkse, and Robert H Porter. 2003. “Empirical Implications of Equilibrium Bidding in First-Price, Symmetric, Common Value Auctions.” Review of Economic Studies 70: 115–145.CrossrefGoogle Scholar

  • Hendricks, Kenneth, and Robert H. Porter. 1988. “An Empirical Study of an Auction with Asymmetric Information.” American Economic Review 78: 865–883.Google Scholar

  • Hendricks, Kenneth, and Robert H. Porter. 1992. “Joint Bidding in Federal OCS Auctions.” American Economic Review 82: 506–511.Google Scholar

  • Hendricks, Kenneth, Robert H. Porter, and Charles A. Wilson. 1994. “Auctions for Oil and Gas Leases with an Informed Bidder and a Random Reservation Price.” Econometrica: Journal of the Econometric Society 62: 1415–1444.CrossrefGoogle Scholar

  • Hickman, Brent R., and Timothy P. Hubbard. 2015. “Replacing Sample Trimming with Boundary Correction in Nonparametric Estimation of First-Price Auctions.” Journal of Applied Econometrics 30: 739–762.CrossrefWeb of ScienceGoogle Scholar

  • Hickman, Brent R., Timothy P. Hubbard, and Yiğit Sağlam. 2012. “Structural Econometric Methods in Auctions: A Guide to the Literature.” Journal of Econometric Methods 1: 67–106.Google Scholar

  • Holt, Charles A., and Susan K. Laury. 2002. “Risk Aversion and Incentive Effects.” American Economic Review 92: 1644–1655.CrossrefGoogle Scholar

  • Jofre-Bonet, Mireia and Martin Pesendorfer. 2003. “Estimation of a Dynamic Auction Game.” Econometrica 71: 1443–1489.CrossrefGoogle Scholar

  • Kessler, Judd and Lise Vesterlund. 2015. The External Validity of Laboratory Experiments: The Misleading Emphasis on Quantitative Effects. Volume 18. UK: Oxford University Press Oxford.Google Scholar

  • Kong, Yunmi. 2015. “Endogenous Entry and Risk Aversion in Oil and Gas Lease Auctions.” Manuscript Department of Economics New York University.Google Scholar

  • Kong, Yunmi. 2017. “Selective Entry in Auctions: Estimation and Evidence.” Manuscript Department of Economics Rice University.Google Scholar

  • Krasnokutskaya, Elena, and Katja Seim. 2011. “Bid Preference Programs and Participation in Highway Procurement Auctions.” American Economic Review 101: 2653–2686.Web of ScienceCrossrefGoogle Scholar

  • Laffont, Jean-Jacques, Herve Ossard, and Quang Vuong. 1995. “Econometrics of First-Price Auctions.” Econometrica: Journal of the Econometric Society 63: 953–980.CrossrefGoogle Scholar

  • Li, Tong, Jingfeng Lu, and Li Zhao. 2015. “Auctions with Selective Entry and Risk Averse Bidders: Theory and Evidence.” RAND Journal of Economics 46: 524–545.CrossrefWeb of ScienceGoogle Scholar

  • Lu, Jingfeng, and Isabelle Perrigne. 2008. “Estimating Risk Aversion from Ascending and Sealed-Bid Auctions: The Case of Timber Auction Data.” Journal of Applied Econometrics 23: 871–896.CrossrefWeb of ScienceGoogle Scholar

  • Marion, Justin. 2007. “Are Bid Preferences Benign? The Effect of Small Business Subsidies in Highway Procurement Auctions.” Journal of Public Economics 91: 1591–1624.CrossrefGoogle Scholar

  • Matzkin, Rosa L. 1994. “Restrictions of Economic Theory in Nonparametric Methods.” Handbook of Econometrics 4: 2523–2558.CrossrefGoogle Scholar

  • Matzkin, Rosa L. 2007. “Nonparametric Identification.” Handbook of Econometrics 6: 5307–5368.CrossrefWeb of ScienceGoogle Scholar

  • Nekipelov, Denis. 2007. “Entry Deterrence and Learning Prevention on Ebay.” Manuscript, Duke University.Google Scholar

  • Paarsch, Harry J. 1992. “Deciding between the Common and Private Value Paradigms in Empirical Models of Auctions.” Journal of Econometrics 51: 191–215.CrossrefGoogle Scholar

  • Pesendorfer, Martin. 2000. “A Study of Collusion in First-Price Auctions.” Review of Economic Studies 67: 381–411.CrossrefGoogle Scholar

  • Politis, Dimitris, Joseph P. Romano, and Michael Wolf. 1999. “Weak Convergence of Dependent Empirical Measures with Application to Subsampling in Function Spaces.” Journal of Statistical Planning and Inference 79: 179–190.CrossrefGoogle Scholar

  • Porter, Robert H., and J. Douglas Zona. 1999. “Ohio School Milk Markets: An Analysis of Bidding.” RAND Journal of Economics 30: 263–288.CrossrefGoogle Scholar

  • Salz, Tobias, and Emanuel Vespa. 2019. “Estimating Dynamic Games of Oligopolistic Competition: An Experimental Investigation.” RAND Journal of Economics Forthcoming.Google Scholar

Artikelinformationen

Online erschienen: 24.09.2019


Quellenangabe: Journal of Econometric Methods, 20170001, ISSN (Online) 2156-6674, DOI: https://doi.org/10.1515/jem-2017-0001.

Zitat exportieren

© 2019 Walter de Gruyter GmbH, Berlin/Boston.Get Permission

Zusatzmaterial zum Artikel

Kommentare (0)