An empirical model of the multi-unit, sequential, clock auction

Harry J Paarsch, Stephen G. Donald and Jacques Robert
Additional contact information
Stephen G. Donald: Department of Economics, University of Texas, Austin, TX 78712, USA, Postal: Department of Economics, University of Texas, Austin, TX 78712, USA
Jacques Robert: Department of Information Technologies, HEC Montréal, Montréal, Québec H3T 2A7, Canada, Postal: Department of Information Technologies, HEC Montréal, Montréal, Québec H3T 2A7, Canada

Journal of Applied Econometrics, 2006, vol. 21, issue 8, pages 1221-1247

Abstract: 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.

Date: 2006
View list of references View citations in EconPapers

Downloads: (external link)
http://hdl.handle.net/10.1002/jae.854 Link to full text; subscription required (text/html)
http://qed.econ.queensu.ca:80/jae/2006-v21.8/ Supporting data files and programs (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:jae:japmet:v:21:y:2006:i:8:p:1221-1247

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

Access Statistics for this article

Journal of Applied Econometrics is edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Series data maintained by Christopher F. Baum ().