Auctions with ex post uncertainty

Yao Luo, Isabelle Perrigne and Quang Vuong

RAND Journal of Economics, 2018, vol. 49, issue 3, 574-593

Abstract: Uncertainty about ex post realized values is an inherent component in many auction environments. In this article, we develop a structural framework to analyze auction data subject to ex post uncertainty as a pure risk. We consider a low‐price sealed‐bid auction model with heterogeneous bidders' preferences and ex post uncertainty. The uncertainty can be common to all bidders or idiosyncratic. We derive the model restrictions and study nonparametric and semiparametric identification of the model primitives under exogenous and endogenous participation. We then develop multistep nonparametric and semiparametric estimation procedures in both cases.

Date: 2018
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https://doi.org/10.1111/1756-2171.12245

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