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Identification Of Standard Auction Models

40 Pages Posted: 21 Aug 2000  

Susan Athey

Stanford Graduate School of Business

Philip A. Haile

Yale University - Department of Economics; National Bureau of Economic Research (NBER); Yale University - Cowles Foundation

Date Written: August 2000

Abstract

We present new identification results for models of first-price, second-price, ascending (English), and descending (Dutch) auctions. We analyze a general specification of bidders' preferences and the underlying information structure, nesting as special cases the pure private values and pure common values models, and allowing both ex ante symmetric and asymmetric bidders. We address identification of a series of such models and propose strategies for discriminating between them on the basis of observed data. In the simplest case, the symmetric independent private values model is nonparametrically identified even if only the transaction price from each auction is observed. For more complex models, we provide conditions for identification and testing when additional information of one of the following types is available: (i) one or more bids in addition to the transaction price; (ii) exogenous variation in the number of bidders; (iii) bidder-specific covariates that shift the distribution of valuations; (iv) the ex post realization of the value of the object sold. Our results include new tests that distinguish between private and common values models.

Keywords: Auctions, nonparametric identification and testing, private values, common values, asymmetric bidders, unobserved bids, order statistics

JEL Classification: C14, C52, D44

Suggested Citation

Athey, Susan and Haile, Philip A., Identification Of Standard Auction Models (August 2000). MIT Dept. of Economics Working Paper No. 00-18. Available at SSRN: https://ssrn.com/abstract=238741 or http://dx.doi.org/10.2139/ssrn.238741

Susan Carleton Athey (Contact Author)

Stanford Graduate School of Business ( email )

655 Knight Way
Stanford, CA 94305-5015
United States

Philip A. Haile

Yale University - Department of Economics ( email )

28 Hillhouse Ave
New Haven, CT 06520-8264
United States
203-432-3568 (Phone)
203-432-6323 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Yale University - Cowles Foundation

Box 208281
New Haven, CT 06520-8281
United States

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