Download or read book A Nonparametric Test for Comparing Valuation Distributions in First Price Auctions written by Nianqing Liu and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article proposes a nonparametric test for comparing valuation distributions in first-price auctions. Our test is motivated by the fact that two valuation distributions are the same if and only if their integrated quantile functions are the same. Our method avoids estimating unobserved valuations and does not require smooth estimation of bid density. We show that our test is consistent against all fixed alternatives and has nontrivial power against root-N local alternatives. Monte Carlo experiments show that our test performs well in finite samples. We implement our method on data from U.S. Forest Service timber auctions.

Download or read book Handbook of Industrial Organization written by and published by Elsevier. This book was released on 2021-12-09 with total page 784 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Industrial Organization Volume 4 highlights new advances in the field, with this new volume presenting interesting chapters. Each chapter is written by an international board of authors. Part of the renowned Handbooks in Economics series Chapters are contributed by some of the leading experts in their fields A source, reference and teaching supplement for industrial organizations or industrial economists

Download or read book Nonparametric Tests for Common Values at First price Sealed Bid Auctions written by Philip A. Haile and published by . This book was released on 2003 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop tests for common values at first-price sealed-bid auctions. Our tests are nonparametric, require observation only of the bids submitted at each auction, and are based on the fact that the winner's curse' arises only in common values auctions. The tests build on recently developed methods for using observed bids to estimate each bidder's conditional expectation of the value of winning the auction. Equilibrium behavior implies that in a private values auction these expectations are invariant to the number of opponents each bidder faces, while with common values they are decreasing in the number of opponents. This distinction forms the basis of our tests. We consider both exogenous and endogenous variation in the number of bidders. Monte Carlo experiments show that our tests can perform well in samples of moderate sizes. We apply our tests to two different types of U.S. Forest Service timber auctions. For unit-price ( scaled') sales often argued to fit a private values model, our tests consistently fail to find evidence of common values. For lumpsum' sales, where a priori arguments for common values appear stronger, our tests yield mixed evidence against the private values hypothesis.

Download or read book Nonparametric Identification and Estimation of K Double Auctions written by Huihui Li and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two chapters on nonparametrically identifying and estimating the sealed-bid k-double auction models between single buyer and single seller.Chapter 1: Nonparametric Identification and Estimation of k-Double Auctions Using Bid DataThis chapter studies the nonparametric identification and estimation of double auctions with one buyer and one seller. This model assumes that both bidders submit their own sealed bids, and the transaction price is determined by a weighted average between the submitted bids when the buyers offer is higher than the sellers ask. It captures the bargaining process between two parties. Working within this double auction model, we first establish the nonparametric identification of both the buyers and the sellers private value distributions in two bid data scenarios; from the ideal situation in which all bids are available, to a more realistic setting in which only the transacted bids are available. Specifically, we can identify both private value distributions when all of the bids are observed. However, we can only partially identify the private value distributions on the support with positive (conditional) probability of trade when only the transacted bids are available in the data. Second, we estimate double auctions with bargaining using a two-step procedure that incorporates bias correction. We then show that our value density estimator achieves the same uniform convergence rate as Guerre, Perrigne, and Vuong (2000) for one-sided auctions. Monte Carlo experiments show that, in finite samples, our estimation procedure works well on the whole support and significantly reduces the large bias of the standard estimator without bias correction in both interior and boundary regions.Chapter 2: Nonparametric Identification of k-Double Auctions Using Price DataThis chapter studies the model identification problem of k-double auctions between one buyer and one seller when the transaction price, rather than the traders bids, can be observed. Given that only the price data is available, I explore an identification strategy that utilizes the double auctions with extreme pricing weight (k=1 or 0) and exclusive covariates that shift only one traders value distribution to identify both the buyers and the sellers value distributions nonparametrically. First, as each exclusive covariate can take at least two values, the buyers and the sellers value distributions are partially identified from the price distribution for k=1 or k=0. The identified set is sharp and can be easily computed. I provide a set of sufficient conditions under which the traders value distributions are point identified. Second, when the exclusive covariates are continuous, it is shown that the buyers and the sellers value distributions will be uniquely determined by a partial differential equation that only depends on the price distribution, provided that the value distributions are known for at least one value of the exclusive covariates.

Download or read book Nonparametric Identification in Asymmetric Second price Auctions written by Toru Kitagawa and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes an approach to proving nonparametric identification for distributions of bidders' values in asymmetric second-price auctions. I consider the case when bidders have independent private values and the only available data pertain to the winner's identity and the transaction price. My proof of identification is constructive and is based on establishing the existence and uniqueness of a solution to the system of non-linear differential equations that describes relationships between unknown distribution functions and observable functions. The proof is conducted in two logical steps. First, I prove the existence and uniqueness of a local solution. Then I describe a method that extends this local solution to the whole support. This paper delivers other interesting results. I show how this approach can be applied to obtain identification in more general auction settings, for instance, in auctions with stochastic number of bidders or weaker support conditions. Furthermore, I demonstrate that my results can be extended to generalized competing risks models. Moreover, contrary to results in classical competing risks (Roy model), I show that in this generalized class of models it is possible to obtain implications that can be used to check whether the risks in a model are dependent. Finally, I provide a sieve minimum distance estimator and show that it consistently estimates the underlying valuation distribution of interest.

Download or read book Nonparametric Tests for Common Values in Fixed Price Sealed Bid Auctions written by Philip A. Haile and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop tests for common values at first-price sealed-bid auctions. Our tests are nonparametric, require observation only of the bids submitted at each auction, and are based on the fact that the "winner's curse" arises only in common values auctions. The tests build on recently developed methods for using observed bids to estimate each bidder's conditional expectation of the value of winning the auction. Equilibrium behavior implies that in a private values auction these expectations are invariant to the number of opponents each bidder faces, while with common values they are decreasing in the number of opponents. This distinction forms the basis of our tests. We consider both exogenous and endogenous variation in the number of bidders. Monte Carlo experiments show that our tests can perform well in samples of moderate sizes. We apply our tests to two different types of U.S. Forest Service timber auctions. For unit-price ("scaled") sales often argued to fit a private values model, our tests consistently fail to find evidence of common values. For "lumpsum" sales, where a priori arguments for common values appear stronger, our tests yield mixed evidence against the private values hypothesis.

Download or read book Essays on Nonparametric Identification and Estimation of All Pay Auctions and Contests written by Ksenia Shakhgildyan and published by . This book was released on 2019 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation contributes to the structural nonparametric econometrics of auctions and contests with incomplete information. It consists of three chapters. The first chapter investigates the identification and estimation of an all-pay auction where the object is allocated to the player with the highest bid, and every bidder pays his bid regardless of whether he wins or not. As a baseline model, I consider the setting, where one object is allocated among several risk-neutral participants with independent private values (IPV); however, I also show how the model can be extended to the multiunit case. Moreover, the model is not confined to the IPV paradigm, and I further consider the case where the bidders' private values are affiliated (APV). In both IPV and APV settings, I prove the identification and derive the consistent estimators of the distribution of the bidders' valuations using a structural approach similar to that of Guerre et al. (2000). Finally, I consider the model with risk-averse bidders. I prove that in general the model in this set-up is not identified even in the semi-parametric case where the utility function of the bidders is restricted to belong to the class of functions with constant absolute risk aversion (CARA). The second chapter proves the identification and derives the asymptotically normal estimator of a nonparametric contest of incomplete information with uncertainty. By uncertainty, I mean that the contest success function is not only determined by the bids of the players, but also by the variable, which I call uncertainty, with a nonparametric distribution, unknown to the researcher, but known to the bidders. This work is the first to consider the incomplete information contest with a nonparametric contest success function. The limiting case of the model when there is no uncertainty is an all-pay auction considered in the first chapter. The model with two asymmetric players is examined. First, I recover the distribution of uncertainty using the information on win outcomes and bids. Next, I adopt the structural approach of Guerre et al. (2000) to obtain the distribution of the bidders' valuations (or types). As an empirical application, I study the U.S. House of Representatives elections. The model provides a method to disentangle two sources of incumbency advantage: a better reputation, and better campaign financing. The former is characterized by the distribution of uncertainty and the latter by the difference in the distributions of candidates' types. Besides, two counterfactual analyses are performed: I show that the limiting expenditure dominates public campaign financing in terms of lowering total campaign spending as well as the incumbent's winning probability. The third chapter is a semiparametric version of the second chapter. In the case when the data is sparse, some restrictions on the nonparametric structure need to be put. In this work, I prove the identification and derive the consistent estimator of a contest of incomplete information, in which an object is allocated according to the serial contest success function. As in previous chapters, I recover the distribution of the bidders' valuations from the data on observed bids using a structural approach similar to that of Guerre et al. (2000) and He and Huang (2018). As a baseline model, I consider the symmetric contest. Further, the model is extended to account for the bidders' asymmetry.

Download or read book Nonparametric Tests for Common Values at First price Sealed bids Auctions written by Philip A. Haile and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Identification of First price Auctions with Biased Beliefs written by Serafin J. Grundl and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Applied Nonparametric Econometrics written by Daniel J. Henderson and published by Cambridge University Press. This book was released on 2015-01-19 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: The majority of empirical research in economics ignores the potential benefits of nonparametric methods, while the majority of advances in nonparametric theory ignores the problems faced in applied econometrics. This book helps bridge this gap between applied economists and theoretical nonparametric econometricians. It discusses in depth, and in terms that someone with only one year of graduate econometrics can understand, basic to advanced nonparametric methods. The analysis starts with density estimation and motivates the procedures through methods that should be familiar to the reader. It then moves on to kernel regression, estimation with discrete data, and advanced methods such as estimation with panel data and instrumental variables models. The book pays close attention to the issues that arise with programming, computing speed, and application. In each chapter, the methods discussed are applied to actual data, paying attention to presentation of results and potential pitfalls.

Download or read book Bounds on Revenue Distributions in Counterfactual Auctions with Reserve Prices written by Xun Tang and published by . This book was released on 2008 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Nonparametric identification and estimation of multi unit sequential oral ascending price auctions with asymmetric bidders written by Bjarne Brendstrup and published by . This book was released on 2004 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book First Price Auctions When the Ranking of Valuations is Common Knowledge written by Michael Landsberger and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider an augmented version of the symmetric private value auction model with independent types. The augmentation, intended to illustrate reality, concerns information bidders have about their opponents. To the standard assumption that every bidder knows his type and the distribution of types is common knowledge we add the assumption that the ranking of bidders' valuations is common knowledge. This set-up induces a particular asymmetric auction model that raises serious technical difficulties. We prove existence and uniqueness of equilibrium in pure strategies in the two bidder case. We also show that the model generally has no analytic solution. If the distribution of valuations is uniform, both bidders bid pointwise more aggressively relative to the standard symmetric case. However, this property does not apply to all distributions of valuations. Finally, we also provide a numerical solution of equilibrium bid functions for the uniform distribution case.

Download or read book Nonparametric Functional Estimation and Related Topics written by George Roussas and published by Springer Science & Business Media. This book was released on 1991-04-30 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt: About three years ago, an idea was discussed among some colleagues in the Division of Statistics at the University of California, Davis, as to the possibility of holding an international conference, focusing exclusively on nonparametric curve estimation. The fruition of this idea came about with the enthusiastic support of this project by Luc Devroye of McGill University, Canada, and Peter Robinson of the London School of Economics, UK. The response of colleagues, contacted to ascertain interest in participation in such a conference, was gratifying and made the effort involved worthwhile. Devroye and Robinson, together with this editor and George Metakides of the University of Patras, Greece and of the European Economic Communities, Brussels, formed the International Organizing Committee for a two week long Advanced Study Institute (ASI) sponsored by the Scientific Affairs Division of the North Atlantic Treaty Organization (NATO). The ASI was held on the Greek Island of Spetses between July 29 and August 10, 1990. Nonparametric functional estimation is a central topic in statistics, with applications in numerous substantive fields in mathematics, natural and social sciences, engineering and medicine. While there has been interest in nonparametric functional estimation for many years, this has grown of late, owing to increasing availability of large data sets and the ability to process them by means of improved computing facilities, along with the ability to display the results by means of sophisticated graphical procedures.

Download or read book Nonparametric Estimation of First price Auctions written by Emmanuel Guerre and published by . This book was released on 1995 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Relevance of Ambiguity in First Price Auctions written by Gaurab Aryal and published by . This book was released on 2018 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the identification and estimation of first-price auctions with independent private values if bidders face ambiguity about the valuation distribution and have maxmin expected utility. Using variation in the number of bidders we nonparametrically identify the true valuation distribution and the lower envelope of the set of prior beliefs. We also allow for CRRA and unobserved auction heterogeneity, and propose a Bayesian estimation method based on Bernstein polynomials. Monte Carlo experiments show that our estimator performs well, and incorrectly ignoring ambiguity induces bias and loss of revenue. We find evidence of ambiguity in timber auctions in the Pacific Northwest.

Download or read book Empirical Implementation of Nonparametric First Price Auction Models written by Daniel J. Henderson and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Nonparametric estimators provide a flexible means of uncovering salient features of auction data. Although these estimators are popular in the literature, many key features necessary for proper implementation have yet to be uncovered. Here we provide several suggestions for nonparamteric 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 nonparametric estimation. We further develop methods for automatic bandwidth selection. Finally, we discuss how to impose monotonicity in auctions with differering number of bidders, reserve prices, and auction-specific characteristics. Finite sample performance is examined using simulated data as well as experimental auction data.