Dynamic Demand Estimation in Auction Markets

• 成果类型: Article
• 署名作者: Backus, Matthew; Lewis, Greg
• 署名单位: University of California System; University of California Berkeley; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdae031
• 发表日期: 2024
• 页码: 837-872
• 关键词: models; identification; Heterogeneity; parameters; inference; prices; games

摘要

We study demand estimation in a large auction market. In our model, a dynamically evolving population of buyers with unit demand and heterogeneous and privately known preferences for a finite set of differentiated products compete in a sequence of auctions that occur in discrete time. We define an empirically tractable equilibrium concept in which bidders behave as though they are competing with the stationary distribution of opposing bids, characterize bidding strategies, and prove existence of equilibrium. Having developed this demand system, we prove that it is non-parametrically identified from panel data. We extend the model to consider a random coefficients demand system akin to workhorse demand models in industrial organization, and show that this too is non-parametrically identified. We apply the model to estimate demand and show how large sellers can exercise market power by using persistent reserve price policies, which induce higher bids and, therefore, revenues. Our analysis highlights the importance of both dynamic bidding strategies and panel data sample selection issues when analysing these markets.