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An empirical model of the multi‐unit, sequential, clock auction
Author(s) -
Donald Stephen G.,
Paarsch Harry J.,
Robert Jacques
Publication year - 2006
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.854
Subject(s) - bidding , common value auction , computer science , estimator , construct (python library) , unit (ring theory) , auction algorithm , vickrey auction , bayesian probability , mathematical optimization , proxy bid , auction theory , process (computing) , mathematical economics , econometrics , economics , revenue equivalence , microeconomics , mathematics , statistics , artificial intelligence , mathematics education , programming language , operating system
We construct a model of participation and bidding at multi‐unit, sequential, clock auctions when bidders have multi‐unit demand. We describe conditions sufficient to characterize a symmetric, perfect‐Bayesian equilibrium and then demonstrate that this equilibrium induces an efficient allocation. We propose an algorithm, based on the generalized Vickrey auction, to calculate the expected winning bid for each unit sold. This algorithm allows us to construct a simulation‐based estimator of the parameters for both the participation process and the distribution of latent valuations. We apply our method to data from 37 multi‐lot, sequential, English auctions of export permits for timber held in Russia. Copyright © 2006 John Wiley & Sons, Ltd.