Empirical Relevance of Ambiguity in First-Price Auctions

Aryal, Gaurab; Grundl, Serafin; Kim, Dong-Hyuk; Zhu, Yu

doi:10.2139/ssrn.2742704

Cited by 14 publications

(25 citation statements)

References 59 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…9 Aradillas-López, Gandhi, and Quint (2013) make this assumption to identify bounds on certain counterfactuals in an English auction setting, and Aradillas-López, Gandhi, and Quint (2016) offer a partial test of this assumption using bid data from English auctions. This same assumption has also been made in several empirical articles on first-price auctions: Vuong (2000, 2009), Haile, Hong, and Shum (2003), Gillen (2010), and Aryal, Grundl, Kim, and Zhu (2018), for example, make this assumption to improve the efficiency of their estimator, to identify a risk aversion parameter, to distinguish private from common values, to identify a "level-k" model of strategic sophistication, and to estimate a model with ambiguity aversion, respectively, and Liu and Luo (2017) present a test of the assumption on first-price auction data. 10 Although we vary (below) what we assume about the observability of N, we will maintain the assumption it is exogenous.…”

Section: Model and Nonparametric Identificationmentioning

confidence: 55%

Estimation in English auctions with unobserved heterogeneity

Hernández¹,

Quint

Turansick

2020

The RAND J of Economics

View full text Add to dashboard Cite

We propose a framework for identification and estimation of a private values model with unobserved heterogeneity from bid data in English auctions, using variation in the number of bidders across auctions, and extend the framework to settings where the number of bidders is not cleanly observed in each auction. We illustrate our method on data from eBay Motors auctions. We find that unobserved heterogeneity is important, accounting for two thirds of price variation after controlling for observables, and that welfare measures would be dramatically misestimated if unobserved heterogeneity were ignored.

show abstract

Section: Model and Nonparametric Identificationmentioning

confidence: 55%

Estimation in English auctions with unobserved heterogeneity

Hernández¹,

Quint

Turansick

2020

The RAND J of Economics

View full text Add to dashboard Cite

show abstract

“…2 Experimental results on the Ellsberg paradox reveal that agents exhibit ambiguity averse behavior in many situations (e.g., Ellsberg (1961), Halevy (2007)). Aryal et al (2018) find empirical evidence of ambiguity in U.S. timber auctions. anism design.…”

Section: Introductionmentioning

confidence: 83%

Efficient implementation with interdependent valuations and maxmin agents

Song

2018

Journal of Economic Theory

View full text Add to dashboard Cite

We consider a single object allocation problem with multidimensional signals and interdependent valuations. When agents' signals are statistically independent, Jehiel and Moldovanu [Efficient design with interdependent valuations, Econometrica, 69(5):1237-1259, 2001] show that efficient and Bayesian incentive compatible mechanisms generally do not exist. In this paper, we extend the standard model to accommodate maxmin agents and obtain necessary as well as sufficient conditions under which efficient allocations can be implemented. In particular, we derive a condition that quantifies the amount of ambiguity necessary for efficient implementation. We further show that under some natural assumptions on the preferences, this necessary amount of ambiguity becomes sufficient. Finally, we provide a definition of informational size such that given any nontrivial amount of ambiguity, efficient allocations can be implemented if agents are sufficiently informationally small.

show abstract

“…We were not able to obtain satisfactory risk-aversion estimates with two-step estimators where the effect of unobserved auction heterogeneity is separated out in a first step as in Krasnokutskaya (2011). For Bayesian estimation approaches for first-price auctions, see Kim (2015a), Kim (2015b) and Aryal, Grundl, Kim, and Zhu (2015).…”

Section: Parameter Spacementioning

confidence: 91%

Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity

Grundl

Zhu

2019

Journal of Econometrics

Self Cite

View full text Add to dashboard Cite

This paper shows point identification in first-price auction models with risk aversion and unobserved auction heterogeneity by exploiting multiple bids from each auction and variation in the number of bidders. The required exclusion restriction is shown to be consistent with a large class of entry models. If the exclusion restriction is violated, but weaker restrictions hold instead, the same identification strategy still yields valid bounds for the primitives. We propose a sieve maximum likelihood estimator. A series of Monte Carlo experiments illustrate that the estimator performs well in finite samples and that ignoring unobserved auction heterogeneity can lead to a significant bias in risk-aversion estimates. In an application to U.S. Forest Service timber auctions we find that the bidders are risk neutral, but we would reject risk neutrality without accounting for unobserved auction heterogeneity.

show abstract

Empirical Relevance of Ambiguity in First-Price Auctions

Cited by 14 publications

References 59 publications

Estimation in English auctions with unobserved heterogeneity

Estimation in English auctions with unobserved heterogeneity

Efficient implementation with interdependent valuations and maxmin agents

Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity

Contact Info

Product

Resources

About