Essays in Empirical Auctions and Partially Identified Econometric Models

Essays in Empirical Auctions and Partially Identified Econometric Models

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Chapter 1. (Bounds on the Counterfactual Revenue Distributions in Auctions with Reserve Prices) In first-price auctions with interdependent bidder values, the distributions of private signals and values cannot be uniquely recovered from bids in Bayesian Nash equilibria. Non-identification invalidates structural analyses that rely on exact identification of the model primitives. In this paper I introduce tight, informative bounds on the distribution of revenues in counterfactual first- and second-price auctions with binding reserve prices. These robust bounds are identified from distributions of equilibrium bids in first-price auctions under minimal restrictions where I allow for affiliated signals and both private- and common-value paradigms. The bounds can be used to compare auction formats and to select optimal reserve prices. I propose consistent nonparametric estimators of the bounds. I extend the approach to account for observed heterogeneity across auctions, as well as endogenous participation due to binding reserve prices. I use a recent data of 6, 721 first-price auctions of U.S. municipal bonds to estimate bounds on counterfactual revenue distributions. I then bound optimal reserve prices for sellers with various risk attitudes.These pose a major challenge for identifying counterfactual revenue distributions in CV auctions. 1.2.3. Observational equivalence of PV and CV In this subsection I prove the observational equivalence of PV and CV paradigms when only G0anbsp;...

Title:Essays in Empirical Auctions and Partially Identified Econometric Models
Author: Xun Tang
Publisher:ProQuest - 2008

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