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Structural Econometrics of First‐price Auctions: A Survey of Methods

Structural Econometrics of First‐price Auctions: A Survey of Methods Over the past decade, the structural analysis of auction data has attracted considerable attention. The structural approach relies on the hypothesis that observed bids are the equilibrium bids of the gametheoretic auction model under consideration. In this paper, we survey econometric methods that have been recently developed for estimating first‐price auction models within the private value paradigm. In particular, we focus on two important issues. A first question is to know whether the structural elements of the model, mainly the underlying latent distribution of bidders private values, are identifiable from observations, usually the observed bids. A second issue concerns the estimation of the underlying density. This can be performed through different methods ranging from parametric to nonparametric ones. After a brief review of basic auction models, we first consider the simple first‐price auction model with‐ in the symmetric independent private value paradigm with a nonbinding reserve price. In a second part, more advanced models are considered allowing for a binding reserve price, affiliation among private values, and asymmetry among bidders. The conclusion presents some future lines of research. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Canadian Journal of Agricultural Economics/Revue Canadienne D'Agroeconomie Wiley

Structural Econometrics of First‐price Auctions: A Survey of Methods

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References (61)

Publisher
Wiley
Copyright
Copyright © 1999 Wiley Subscription Services, Inc., A Wiley Company
ISSN
0008-3976
eISSN
1744-7976
DOI
10.1111/j.1744-7976.1999.tb00222.x
Publisher site
See Article on Publisher Site

Abstract

Over the past decade, the structural analysis of auction data has attracted considerable attention. The structural approach relies on the hypothesis that observed bids are the equilibrium bids of the gametheoretic auction model under consideration. In this paper, we survey econometric methods that have been recently developed for estimating first‐price auction models within the private value paradigm. In particular, we focus on two important issues. A first question is to know whether the structural elements of the model, mainly the underlying latent distribution of bidders private values, are identifiable from observations, usually the observed bids. A second issue concerns the estimation of the underlying density. This can be performed through different methods ranging from parametric to nonparametric ones. After a brief review of basic auction models, we first consider the simple first‐price auction model with‐ in the symmetric independent private value paradigm with a nonbinding reserve price. In a second part, more advanced models are considered allowing for a binding reserve price, affiliation among private values, and asymmetry among bidders. The conclusion presents some future lines of research.

Journal

Canadian Journal of Agricultural Economics/Revue Canadienne D'AgroeconomieWiley

Published: Nov 1, 1999

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