Inference with an incomplete model of English auctions

• 成果类型: Article
• 署名作者: Haile, PA; Tamer, E
• 署名单位: University of Wisconsin System; University of Wisconsin Madison; National Bureau of Economic Research; Princeton University
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/344801
• 发表日期: 2003
• 页码: 1-51
• 关键词: nonparametric approach; empirical-models; reserve price; identification; INFORMATION; ECONOMICS; common

摘要

While English auctions are the most common in practice, their rules typically lack sufficient structure to yield a tractable theoretical model without significant abstractions. Rather than relying on one stylized model to provide an exact interpretation of the data, we explore an incomplete model based on two simple assumptions: bidders neither bid more than their valuations nor let an opponent win at a price they would be willing to beat. Focusing on the symmetric independent private values paradigm, we show that this limited structure enables construction of informative bounds on the distribution function characterizing bidder demand, on the optimal reserve price, and on the effects of observable covariates on bidder valuations. If the standard theoretical model happens to be the true model, our bounds collapse to the true features of interest. In contrast, when the true data-generating process deviates in seemingly small ways from that implied by equilibrium in the standard theoretical model, existing methods can yield misleading results that need not even lie within our bounds. We report results from Monte Carlo experiments illustrating the performance of our approach and comparing it to others. We apply our approach to U. S. Forest Service timber auctions to evaluate reserve price policy.