Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation

Timothy Hubbard, Tong Li and Harry Paarsch

Journal of Econometrics, 2012, vol. 168, issue 1, 4-16

Abstract: Within the affiliated private-values paradigm, we develop a tractable empirical model of equilibrium behaviour at first-price, sealed-bid auctions. The model is non-parametrically identified, but the rate of convergence in estimation is slow when the number of bidders is even moderately large, so we develop a semiparametric estimation strategy, focusing on the Archimedean family of copulae and implementing this framework using particular members—the Clayton, Frank, and Gumbel copulae. We apply our framework to data from low-price, sealed-bid auctions used by the Michigan Department of Transportation to procure road-resurfacing services, rejecting the hypothesis of independence and finding significant (and high) affiliation in cost signals.

Keywords: First-price, sealed-bid auctions; Copulae; Affiliation (search for similar items in EconPapers)
JEL-codes: C20 D44 L1 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (21)

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Working Paper: Semiparametric Estimation in Models of First-Price, Sealed-Bid Auctions with Affiliation (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:168:y:2012:i:1:p:4-16

DOI: 10.1016/j.jeconom.2011.09.006

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