Auctions with ex post uncertainty

• 成果类型: Article
• 署名作者: Luo, Yao; Perrigne, Isabelle; Quang Vuong
• 署名单位: University of Toronto; Rice University; New York University
• 刊物名称: RAND JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0741-6261
• DOI: 10.1111/1756-2171.12245
• 发表日期: 2018
• 页码: 574-593
• 关键词: high-bid auctions; 1st-price auctions; nonparametric-estimation; conditional quantile; timber auctions; equilibrium; procurement; RISK; INFORMATION; CONTRACTS

摘要

Uncertainty about ex post realized values is an inherent component in many auction environments. In this article, we develop a structural framework to analyze auction data subject to ex post uncertainty as a pure risk. We consider a low-price sealed-bid auction model with heterogeneous bidders' preferences and ex post uncertainty. The uncertainty can be common to all bidders or idiosyncratic. We derive the model restrictions and study nonparametric and semiparametric identification of the model primitives under exogenous and endogenous participation. We then develop multistep nonparametric and semiparametric estimation procedures in both cases.