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On the asymptotic distribution of the transaction price in a clock model of a multi‐unit, oral, ascending‐price auction within the common‐value paradigm
Author(s) -
Hong Han,
Paarsch Harry J.,
Xu Pai
Publication year - 2013
Publication title -
the rand journal of economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 3.687
H-Index - 108
eISSN - 1756-2171
pISSN - 0741-6261
DOI - 10.1111/1756-2171.12034
Subject(s) - database transaction , unit price , value (mathematics) , economics , econometrics , spot contract , microeconomics , computer science , financial economics , mathematics , statistics , database , futures contract
Using a clock model of a multi‐unit, oral, ascending‐price auction, within the common‐value paradigm, we analyze the behavior of the transaction price as the numbers of bidders and units gets large in a particular way. We find that even though the transaction price is determined by a fraction of losing drop‐out bids, that price converges in probability to the true, but ex ante unknown, value. Subsequently, we demonstrate that the asymptotic distribution of the transaction price is Gaussian. Finally, we apply our methods to data from an auction of taxi license plates held in Shenzhen, China.