Econometrics of First-Price Auctions

Jean-Jacques Laffont, Herve Ossard and Quang Vuong

Econometrica, 1995, vol. 63, issue 4, 953-80

Abstract: This paper proposes a convenient estimation method for the empirical study of auction models. The authors focus on first-price sealed-bid and descending auctions within the private value paradigm. The method relies upon a simulated nonlinear least squares objective function appropriately adjusted. Asymptotic properties are established and some extensions are discussed. The method is applied to a market of agricultural products. The structural modeling takes into account the heterogeneity of the auctioned objects and the fact that only the winning bid is observed. Estimates of the parameters characterizing the distribution of the unobserved private values are provided. Copyright 1995 by The Econometric Society.

Date: 1995
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Related works:
Working Paper: Econometrics of first-price auctions (1995)
Working Paper: Econometrics of First-Price Auctions (1991)
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