Econometrics of first-price auctions

J. J. Laffont, H. Ossard, Quang Vuong

    Research output: Contribution to journalArticle

    Abstract

    We propose an estimation method for the empirical study of theoretical auction models. We focus on first-price sealed bid and descending auctions and we adopt the private value paradigm, where each bidder is assumed to have a different private value, only known to him, for the object that is auctioned. Following McFadden (1989) and Pakes and Pollard (1989), our proposed method is based on simulations. Specifically, the method relies on a simulated nonlinear least squares objective function appropriately adjusted so as to obtain consistent estimates of the parameters of interest. We illustrate the proposed method by studying a market of agricultural products, where descending auctions are used. Our analysis takes into account heterogeneity of the auctioned objects and the fact that only the winning bid is observed. We estimate the parameters that characterize the distribution of the unobserved private values for each auctioned object.

    Original languageEnglish (US)
    Pages (from-to)953-980
    Number of pages28
    JournalEconometrica
    Volume63
    Issue number4
    StatePublished - 1995

    Fingerprint

    auction
    Auctions
    Econometrics
    econometrics
    Values
    Consistent Estimates
    Square Functions
    Nonlinear Least Squares
    Empirical Study
    agricultural product
    Objective function
    Paradigm
    paradigm
    simulation
    First-price auction
    market
    Estimate
    Object
    Private values
    Simulation

    ASJC Scopus subject areas

    • Economics and Econometrics
    • Mathematics (miscellaneous)
    • Statistics and Probability
    • Social Sciences (miscellaneous)

    Cite this

    Laffont, J. J., Ossard, H., & Vuong, Q. (1995). Econometrics of first-price auctions. Econometrica, 63(4), 953-980.

    Econometrics of first-price auctions. / Laffont, J. J.; Ossard, H.; Vuong, Quang.

    In: Econometrica, Vol. 63, No. 4, 1995, p. 953-980.

    Research output: Contribution to journalArticle

    Laffont, JJ, Ossard, H & Vuong, Q 1995, 'Econometrics of first-price auctions', Econometrica, vol. 63, no. 4, pp. 953-980.
    Laffont JJ, Ossard H, Vuong Q. Econometrics of first-price auctions. Econometrica. 1995;63(4):953-980.
    Laffont, J. J. ; Ossard, H. ; Vuong, Quang. / Econometrics of first-price auctions. In: Econometrica. 1995 ; Vol. 63, No. 4. pp. 953-980.
    @article{f796a299b4fe4ccab80b68ab3adbc3ed,
    title = "Econometrics of first-price auctions",
    abstract = "We propose an estimation method for the empirical study of theoretical auction models. We focus on first-price sealed bid and descending auctions and we adopt the private value paradigm, where each bidder is assumed to have a different private value, only known to him, for the object that is auctioned. Following McFadden (1989) and Pakes and Pollard (1989), our proposed method is based on simulations. Specifically, the method relies on a simulated nonlinear least squares objective function appropriately adjusted so as to obtain consistent estimates of the parameters of interest. We illustrate the proposed method by studying a market of agricultural products, where descending auctions are used. Our analysis takes into account heterogeneity of the auctioned objects and the fact that only the winning bid is observed. We estimate the parameters that characterize the distribution of the unobserved private values for each auctioned object.",
    author = "Laffont, {J. J.} and H. Ossard and Quang Vuong",
    year = "1995",
    language = "English (US)",
    volume = "63",
    pages = "953--980",
    journal = "Econometrica",
    issn = "0012-9682",
    publisher = "Wiley-Blackwell",
    number = "4",

    }

    TY - JOUR

    T1 - Econometrics of first-price auctions

    AU - Laffont, J. J.

    AU - Ossard, H.

    AU - Vuong, Quang

    PY - 1995

    Y1 - 1995

    N2 - We propose an estimation method for the empirical study of theoretical auction models. We focus on first-price sealed bid and descending auctions and we adopt the private value paradigm, where each bidder is assumed to have a different private value, only known to him, for the object that is auctioned. Following McFadden (1989) and Pakes and Pollard (1989), our proposed method is based on simulations. Specifically, the method relies on a simulated nonlinear least squares objective function appropriately adjusted so as to obtain consistent estimates of the parameters of interest. We illustrate the proposed method by studying a market of agricultural products, where descending auctions are used. Our analysis takes into account heterogeneity of the auctioned objects and the fact that only the winning bid is observed. We estimate the parameters that characterize the distribution of the unobserved private values for each auctioned object.

    AB - We propose an estimation method for the empirical study of theoretical auction models. We focus on first-price sealed bid and descending auctions and we adopt the private value paradigm, where each bidder is assumed to have a different private value, only known to him, for the object that is auctioned. Following McFadden (1989) and Pakes and Pollard (1989), our proposed method is based on simulations. Specifically, the method relies on a simulated nonlinear least squares objective function appropriately adjusted so as to obtain consistent estimates of the parameters of interest. We illustrate the proposed method by studying a market of agricultural products, where descending auctions are used. Our analysis takes into account heterogeneity of the auctioned objects and the fact that only the winning bid is observed. We estimate the parameters that characterize the distribution of the unobserved private values for each auctioned object.

    UR - http://www.scopus.com/inward/record.url?scp=0029180568&partnerID=8YFLogxK

    UR - http://www.scopus.com/inward/citedby.url?scp=0029180568&partnerID=8YFLogxK

    M3 - Article

    VL - 63

    SP - 953

    EP - 980

    JO - Econometrica

    JF - Econometrica

    SN - 0012-9682

    IS - 4

    ER -