Download or read book Are Structural Estimates of Auction Models Reasonable written by Patrick Bajari and published by . This book was released on 2003 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recently, economists have developed methods for structural estimation of auction models. Many researchers object to these methods because they find the rationality assumptions used in these models to be implausible. In this paper, we explore whether structural auction models can generate reasonable estimates of bidders' private information. Using bid data from auction experiments, we estimate four alternative structural models of bidding in first-price sealed-bid auctions: 1) risk neutral Bayes-Nash, 2) risk averse Bayes-Nash, 3) a model of learning and 4) a quantal response model of bidding. For each model, we compare the estimated valuations and the valuations assigned to bidders in the experiments. We find that a slight modification of Guerre, Perrigne and Vuong's (2000) procedure for estimating the risk neutral Bayes-Nash model to allow for bidder asymmetries generates quite reasonable estimates of the structural parameters.

Download or read book Are Structural Estimates of Auction Models Reasonable Evidence Form Experimental Data written by Patrick L. Bajari and published by . This book was released on 2003 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Are Structural Estimates of Auction Models Reasonable Evidence from Experimental Data written by Patrick Bajari and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recently, economists have developed methods for structural estimation of auction models. Many researchers object to these methods because they find the strict rationality assumptions to be implausible. Using bid data from first-price auction experiments, we estimate four alternative structural models:(1) risk-neutral Bayes-Nash, (2) risk-averse Bayes-Nash, (3) a model of learning, and (4) a quantal response model of bidding. For each model, we compare the estimated valuations and the valuations assigned to bidders in the experiments. We find that the risk aversion model is able to generate reasonable estimates of bidder valuations.

Download or read book Nonparametric Identication and Structural Estimation of Auction Models written by Ming He and published by . This book was released on 2016 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Estimation of Structural Models Using Experimental Data From the Lab and the Field written by Charles Bellemare and published by Cambridge University Press. This book was released on 2023-02-09 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt: Behavioral economics provides a rich set of explicit models of non-classical preferences and belief formation which can be used to estimate structural models of decision making. At the same time, experimental approaches allow the researcher to exogenously vary components of the decision making environment. The synergies between behavioral and experimental economics provide a natural setting for the estimation of structural models. This Element will cover examples supporting the following arguments 1) Experimental data allows the researcher to estimate structural models under weaker assumptions and can simplify their estimation, 2) many popular models in behavioral economics can be estimated without any programming skills using existing software, 3) experimental methods are useful to validate structural models. This Element aims to facilitate adoption of structural modelling by providing Stata codes to replicate some of the empirical illustrations that are presented. Examples covered include estimation of outcome-based preferences, belief-dependent preferences and risk preferences.

Download or read book Structural Analysis of Auction Models written by María Florencia Gabrielli and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis of auctions is an active area of research for both theoretical and empirical economists. Concentrating on a particular auction format, namely the First--Price Sealed--Bid auction, this dissertation contributes to the analysis of auction both from a methodological viewpoint and from a more applied perspective. The first chapter of this dissertation provides and overview of the literature relevant to this thesis. There, we review the theoretical background to auction models, collusion and the econometric literature on nonparametric estimators. Chapter 2 proposes a semiparametric estimator for the distribution of private values within the class of indirect methods that have been analyzed using the so--called structural approach to estimate auction models. The proposed estimator is shown to have desirable statistical properties namely, it is consistent and has an asymptotic normal distribution. Moreover, the estimator attains the parametric rate of convergence. Chapter 3 concentrates on the study of collusion in auctions. The main objective of chapter 3 is twofold. First, to provide a methodology to detect collusion using a structural approach, and second to apply the methodology to field data on procurement auctions for highway construction in California.

Download or read book Structural Estimation of Auction Models written by Junfeng Qi and published by . This book was released on 1997 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Structural Estimation of Auction Models written by Han Hong and published by . This book was released on 2015 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a survey chapter on the structural estimation of auction models.

Download or read book Identification and Estimation of Auction Models with a Random Number of Bidders written by and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Structural Econometric Modeling in Industrial Organization and Quantitative Marketing written by Ali Hortaçsu and published by Princeton University Press. This book was released on 2023-10-24 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Within economics a relatively new way of modeling has dominated important subfields: structural modeling. The goal of this book is to give an overview on how the various streams of literatures in empirical industrial organization and quantitative marketing use structural econometric modeling to estimate the model parameters, give the economic-model-based predictions, and conduct the policy counterfactual experiments. The traditional way of modelling, called "reduced-form" builds its models from simple relationships between variables of interests, which are mostly linear. Structural econometric models start by specifying the structure of the economic model, and the variables are calibrated from real-world data. This method enables better predictions and policy counterfactuals, and has other benefits. When considering a hypothetical policy change using the traditional modeling method ("reduced form"), researchers can often only estimate whether an effect would be positive or negative. With a structural econometric model using real-world data, a researcher can obtain the magnitude of the effects resulting from a hypothetical change. But the ability of quantifying the effects associated with a hypothetical policy change comes with its costs: the nonlinearity from explicitly specifying the possible relationships makes the structural econometric approach generally much more difficult to implement than its reduced-form counterpart. Therefore this book will provide a much-needed resource on how to use these methods effectively in the fields in which they been used the most, empirical industrial organization and quantitative marketing"--

Download or read book Essays on the Theory and Estimation of Auction Models written by Leonardo Rezende and published by . This book was released on 2003 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Handbook of Econometrics written by Zvi Griliches and published by Elsevier. This book was released on 1983 with total page 1013 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook is a definitive reference source and teaching aid for econometricians. It examines models, estimation theory, data analysis and field applications in econometrics.

Download or read book Handbook of Labor Economics written by Orley Ashenfelter and published by Elsevier. This book was released on 2010-12-09 with total page 863 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide to the continually evolving field of labour economics.

Download or read book Estimation and Testing of Structural Parametric Sealed bid Auctions written by Samita Sareen and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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'.

Download or read book Antitrust Law Journal written by and published by . This book was released on 1986 with total page 1136 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Handbook of Econometrics written by James Joseph Heckman and published by Elsevier. This book was released on 2007 with total page 1013 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 ...

Download or read book Structural Analysis of Auction Data with an Unknown Number of Bidders written by Unjy Song and published by . This book was released on 2004 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt: