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How Accurately Do Structural Asymmetric First-Price Auction Estimates Represent True Valuations?

48 Pages Posted: 24 Feb 2014 Last revised: 10 Mar 2017

Kirill Chernomaz

San Francisco State University - Department of Economics

Hisayuki Yoshimoto

University of Glasgow - Adam Smith Business School

Date Written: January 27, 2017

Abstract

Structural asymmetric first-price auction estimation methods have provided numerous empirical studies. However, due to the unobserved nature of underlying valuations, the accuracy of estimates is not feasibly testable with field data, a fact that could inhibit empirical auction market designs and applications based on structural estimates. To address the diverse views regarding estimates' accuracy, we provide an analysis of estimates derived from experimental asymmetric auction data in which researchers observe valuations. We test the null of statistical equivalence between the estimated and true value distributions against the alternative of non-equivalence. When advanced models are used, the Modified Kolmogorov-Smirnov test fails to reject the distributional equivalence, supporting structural asymmetric auction estimations for auction market studies.

Keywords: Empirical Auctions, Asymmetric Auctions, Structural Estimations, Nonparametric Identifications, Risk Aversion

JEL Classification: C13, D44

Suggested Citation

Chernomaz, Kirill and Yoshimoto, Hisayuki, How Accurately Do Structural Asymmetric First-Price Auction Estimates Represent True Valuations? (January 27, 2017). Available at SSRN: https://ssrn.com/abstract=2394832 or http://dx.doi.org/10.2139/ssrn.2394832

Kirill Chernomaz

San Francisco State University - Department of Economics ( email )

1600 Holloway Avenue
San Francisco, CA 94132
United States
(415) 405-2699 (Phone)

HOME PAGE: http://online.sfsu.edu/~kirillch/

Hisayuki Yoshimoto (Contact Author)

University of Glasgow - Adam Smith Business School ( email )

Glasgow
United Kingdom

HOME PAGE: http://hisayukiyoshimoto.org/

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